Optimal Investment of Merton Model for Multiple Investors with Frictions

We investigate the classical optimal investment problem of Merton model in a discrete time with market friction due to loss wealth trading. consider case finite number investors, for each investor represented by convex penalty function. This cover transaction costs and liquidity models studied previously literature. suppose that maximizes their utility function over all controls keep value portfolio after liquidation non-negative. In main results this paper, we prove existence an strategy using new approach based on formulation equivalent general equilibrium economy via constructing truncated economy, is obtained argument limits.