scientific article; zbMATH DE number 852307

MaRDI QIDQ4868518zbMATH OpenFDO

Authors Steven Shreve

Publication date 24 July 1996

zbMATH Keywords

geometric Brownian motioninfinite-horizon consumption-investment problem

Mathematics Subject Classification ID

Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Economic growth models (91B62)

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(12)

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• Liquidity of secondary capital markets: Allocative efficiency and the maturity composition of the capital stock
• Ambiguity premium and transaction costs
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• A numerical approach to obtain the yield curves with different risk-neutral drifts
• Liquidity premium in the presence of stock market crises and background risk
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• Asset Pricing in Economies with Frictions
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