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In a finite time horizon, incomplete market, continuous-time setting with dividends and investor incomes governed by arithmetic Brownian motions, we derive closed-form solutions for the equilibrium risk-free rate and stock price for an economy with finitely many heterogeneous CARA investors and...

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A model of optimal portfolio selection under liquidity risk and price impact

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Optimal consumption policies in illiquid markets

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Wealth-path dependent utility maximization in incomplete markets

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A large deviations approach to optimal long term investment

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Dynamic programming and mean-variance hedging

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