Dai, Darong (2011): Wealth Martingale and Neighborhood Turnpike Property in Dynamically Complete Market with Heterogeneous Investors. Forthcoming in: Economic Research Guardian

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Abstract
In the current paper, a dynamically complete financial market with finite and countable heterogeneous investors has been constructed. Selfdynamic game is defined, that is, the investors determine the optimal bankruptcy time first, and then the optimal portfolio policy. Subgame perfect Nash equilibrium bankruptcy time is derived and it is confirmed that there exists a unique value of efficient terminal wealth for each investor. The interesting theorem of the current paper proves that the vector of efficient terminal wealth exhibits neighborhood turnpike property if the corresponding optimal path of wealth accumulation is a martingale for each investor. This result would be regarded as an interesting neighborhood turnpike theorem in mathematical finance because it focuses on terminal wealth accumulation of the investors which indeed plays a crucial role in mathematical finance. And it also provides us with an internal\intrinsic and a simple relationship between fairness and efficiency characterizations of the modern financialmarket institutions.
Item Type:  MPRA Paper 

Original Title:  Wealth Martingale and Neighborhood Turnpike Property in Dynamically Complete Market with Heterogeneous Investors 
English Title:  Wealth Martingale and Neighborhood Turnpike Property in Dynamically Complete Market with Heterogeneous Investors 
Language:  English 
Keywords:  Optimal portfolio policy, Subgame perfect Nash equilibrium bankruptcy time, Heterogeneous investors, Wealth martingale, Neighborhood turnpike theorem 
Subjects:  C  Mathematical and Quantitative Methods > C6  Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C61  Optimization Techniques ; Programming Models ; Dynamic Analysis G  Financial Economics > G1  General Financial Markets > G11  Portfolio Choice ; Investment Decisions G  Financial Economics > G3  Corporate Finance and Governance > G30  General 
Item ID:  46416 
Depositing User:  darong dai 
Date Deposited:  21. Apr 2013 16:33 
Last Modified:  21. Apr 2013 16:46 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/46416 