Merton’s portfolio problem including market frictions: A closed-form formula supporting the shadow price approach

2019 ◽  
Vol 275 (3) ◽  
pp. 1178-1189 ◽  
Author(s):  
Francesca Mariani ◽  
Maria Cristina Recchioni ◽  
Mariateresa Ciommi
Keyword(s):  
Closed Form ◽  
Shadow Price ◽  
Market Frictions ◽  
Portfolio Problem ◽  
Price Approach ◽  
Merton’S Portfolio ◽  
Closed Form Formula

scholarly journals ON THE REPRESENTATION OF THE NESTED LOGIT MODEL

2021 ◽  
pp. 1-11
Author(s):  
Alfred Galichon
Keyword(s):  
Closed Form ◽  
Logit Model ◽  
Random Variables ◽  
Nested Logit ◽  
Random Utility ◽  
Nested Logit Model ◽  
Utility Representation ◽  
Phd Thesis ◽  
Closed Form Formula

In this paper, we give a two-line proof of a long-standing conjecture of Ben-Akiva in his 1973 PhD thesis regarding the random utility representation of the nested logit model, thus providing a renewed and straightforward textbook treatment of that model. As an application, we provide a closed-form formula for the correlation between two Fréchet random variables coupled by a Gumbel copula.

scholarly journals Risk-averse Merton’s Portfolio Problem

2016 ◽  
Vol 49 (8) ◽  
pp. 266-271
Author(s):  
Laurent Pfeiffer
Keyword(s):  
Risk Averse ◽  
Portfolio Problem ◽  
Merton’S Portfolio

A Closed-Form Formula of Radiation and Total Efficiency for Lossy Multiport Antennas

2019 ◽  
Vol 18 (12) ◽  
pp. 2468-2472
Author(s):  
Min Wang ◽  
Tian-Hong Loh ◽  
Yongjiu Zhao ◽  
Qian Xu
Keyword(s):  
Closed Form ◽  
Total Efficiency ◽  
Closed Form Formula ◽  
Multiport Antennas
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