1,684 research outputs found
Optimal investment with intermediate consumption under no unbounded profit with bounded risk
We consider the problem of optimal investment with intermediate consumption
in a general semimartingale model of an incomplete market, with preferences
being represented by a utility stochastic field. We show that the key
conclusions of the utility maximization theory hold under the assumptions of no
unbounded profit with bounded risk (NUPBR) and of the finiteness of both primal
and dual value functions.Comment: 10 pages, revised version, to appear in the Applied Probability
Journal
Power Utility Maximization in Constrained Exponential L\'evy Models
We study power utility maximization for exponential L\'evy models with
portfolio constraints, where utility is obtained from consumption and/or
terminal wealth. For convex constraints, an explicit solution in terms of the
L\'evy triplet is constructed under minimal assumptions by solving the Bellman
equation. We use a novel transformation of the model to avoid technical
conditions. The consequences for q-optimal martingale measures are discussed as
well as extensions to non-convex constraints.Comment: 22 pages; forthcoming in 'Mathematical Finance
Relative Extinction of Heterogeneous Agents
In all the existing literature on survival in heterogeneous economies, the rate at which an
agent vanishes in the long run relative to another agent can be characterized by the difference
of the so-called survival indices, where each survival index only depends on the preferences of
the corresponding agent and the properties of the aggregate endowment. In particular, one agent
experiences extinction relative to another (that is, the wealth ratio of the two agents goes to zero)
if and only if she has a smaller survival index. We consider a simple complete market model and
show that the survival index is more complex if there are more than two agents in the economy. In
fact, the following phenomenon may take place: even if agent one experiences extinction relative
to agent two, adding a third agent to the economy may reverse the situation and force the agent
two to experience extinction relative to agent one. We also calculate the rates of convergence
Weak and strong no-arbitrage conditions for continuous financial markets
We propose a unified analysis of a whole spectrum of no-arbitrage conditions for finan- cial market models based on continuous semimartingales. In particular, we focus on no-arbitrage conditions weaker than the classical notions of No Arbitrage opportunity (NA) and No Free Lunch with Vanishing Risk (NFLVR). We provide a complete characterization of the considered no-arbitrage conditions, linking their validity to the characteristics of the discounted asset price process and to the existence and the properties of (weak) martingale deflators, and review classical as well as recent results
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