In this article, we study a multi-period portfolio selection model in which a generic class of
probability distributions is assumed for the returns of the risky asset. An investor with a …

We consider infinite weighted graphs G, ie, sets of vertices V, and edges E assumed
countably infinite. An assignment of weights is a positive symmetric function c on E (the edge …

This study investigates the convergence of the optimal consumption and investment policies
in a binomial-tree model to those in the continuous-time model of Merton (1969). We provide …

In the paper expected utility from consumption over finite time horizon for discrete time
markets with bid and ask prices and strictly concave utility function is considered. The notion …

We consider an optimal investment problem to maximize expected utility of the terminal
wealth, in an illiquid market with search frictions and transaction costs. In the market model …

In this paper, we study the optimal consumption and investment problems for an individual
with the Epstein-Zin type utility. We employ the binomial tree model for dynamics of the risky …

We consider a non-consuming agent interested in the maximization of the long-run growth
rate of a wealth process investing either in a money market and in one risky asset following …

In this paper, we consider the retirement and financial choice problem of an economic agent
and solve it by the binomial tree model. In the dual martingale approach we take, the …