Optimal Investment of Merton Model for Multi-Investors with Frictions

In this paper, we extend the Merton model of investment in discrete time to the cases when there is a finite number of investors and the market is with frictions represented by convex penalty functions defined for each investor. In the main result of this paper, we proved the existence of optimal strategy of investment by using a new approach based on the formulation of an equivalent general equilibrium economy model.