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 port...

A market is described by two correlated asset prices. But only one of them is traded while the contingent claim is a function of both assets. We solve the mean-variance hedging problem completely and prove that the optimal strategy consists of a modi ed pure hedge expressible in terms of the obervation process and a Merton-type investment.

In the basic Markowitz and Merton models, a stock’s weight in efficient portfolios goes up if its expected rate of return goes up. Put differently, there are no financial Giffen goods. By an example from mortgage choice we illustrate that for more complicated portfolio problems Giffen effects do occur.

We consider investment problems where an investor can invest in a savings account, stocks and bonds and tries to maximize her utility from terminal wealth. In contrast to the classical Merton problem we assume a stochastic interest rate. To solve the corresponding control problems it is necessary to prove a veri cation theorem without the usual Lipschitz assumptions.

Eight adult volunteers had EEG recordings and serial serum prolactin estimations performed both before and after a session of transcutaneous stimulation of the central motor pathways using the technique of Merton and Morton. No significant changes in either the EEG traces or in the serum prolactin values were detected.

Bharath and Shumway (2008) provide evidence that shows that it is the functional form of Merton’s (1974) distance to default (DD) model that makes it useful and important for predicting defaults. In this paper, we investigate whether the default predictability of the Merton DD model would be affected by taking investors’ ambiguity aversion into consideration. The Cox proportional hazard model i...

This paper presents a discrete-time option pricing model that is rooted in Reinforcement Learning (RL), and more specifically in the famous Q-Learning method of RL. We construct a riskadjusted Markov Decision Process for a discrete-time version of the classical Black-ScholesMerton (BSM) model, where the option price is an optimal Q-function, while the optimal hedge is a second argument of this ...

Although the development of noticeable lines on the face is usually associated with smoking, this is not always so. Although no such persons were encountered during this survey, non-smokers are occasionally encountered with lined faces suggestive of smoker's face. These people tend to be women and although their faces are lined, their complexions are usually sufficiently clear to suggest that i...

T homas Merton, the American intellectual turned Trappist monk, recounts in The Seven Storey Mountain that his conversion to Catholicism was triggered by reading an account of a sermon in James Joyce’s A Portrait of the Artist as a Young Man, a novel that draws from Joyce’s own departure from the faith. Merton fully recognizes the oddness and paradox of such a reading, but there was something, ...