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A variational problem arising in financial economics

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Author Info
Cox, John C.
Huang, Chi-fu.
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File URL: http://hdl.handle.net/1721.1/2236
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Paper provided by Massachusetts Institute of Technology (MIT), Sloan School of Management in its series Working papers with number 2110-89..

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Date of creation: 1989
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Handle: RePEc:mit:sloanp:2236

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Keywords: HD28 .M414 no.2110-; 89;

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Philip H. Dybvig & Chi-fu Huang, 1988. "Nonnegative Wealth, Absence of Arbitrage, and Feasible Consumption Plans," Cowles Foundation Discussion Papers 860, Cowles Foundation, Yale University. [Downloadable!]
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  2. R. C. Merton, 1970. "Optimum Consumption and Portfolio Rules in a Continuous-time Model," Working papers 58, Massachusetts Institute of Technology (MIT), Department of Economics.
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  3. Huang, Chi-fu, 1985. "Information structures and viable price systems," Journal of Mathematical Economics, Elsevier, vol. 14(3), pages 215-240, June. [Downloadable!] (restricted)
  4. Kreps, David M., 1981. "Arbitrage and equilibrium in economies with infinitely many commodities," Journal of Mathematical Economics, Elsevier, vol. 8(1), pages 15-35, March. [Downloadable!] (restricted)
  5. Cox, John C. & Huang, Chi-fu., 1987. "Optimal consumption and portfolio policies when asset prices follow a diffusion process," Working papers 1926-87., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
  6. Huang, Chi-fu, 1987. "An Intertemporal General Equilibrium Asset Pricing Model: The Case of Diffusion Information," Econometrica, Econometric Society, vol. 55(1), pages 117-42, January. [Downloadable!] (restricted)
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