A Martingale Characterization of Consumption Choices and Hedging Costs with Margin Requirements

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Option pricing with an illiquid underlying asset market (2005, background): “This assumption may also be consistent with the presence of portfolio constraints (e.g., short sale constraint, see Cuoco and Liu (2000) for example), capital shortage, or position limits.”
An Analysis of VaR-based Capital Requirements (2006, background): “Sentana (2001), Emmer et al. (2001), Vorst (2001), Basak and Shapiro (2001) and Cuoco et al.”
Duality in constrained optimal investment and consumption problems: a synthesis (2003, methodology): “(Cuoco & Liu (2000)).”
Losing Money on Arbitrages: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities (2000, background): “Important examples of this literature include Heath and Jarrow (1987), Hindy (1995), and Cuoco and Liu (1999).”