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Shadow prices and well-posedness in the problem of optimal investment and consumption with transaction costs
Shadow prices well-posedness the problem of optimal investment consumption transaction costs Portfolio Management
2012/4/28
We revisit the optimal investment and consumption model of Davis and Norman (1990) and Shreve and Soner (1994), following a shadow-price approach similar to that of Kallsen and Muhle-Karbe (2010). Mak...
Optimal Investment and Premium Policies under Risk Shifting and Solvency Regulation
Risk Shifting Insurance Regulation Pareto Optimality
2011/3/30
Limited liability creates a conflict of interests between policyholders and shareholders of insurance companies. It provides shareholders with incentives to increase the risk of the insurer's assets a...
Optimal investment with bounded VaR for power utility functions
VaR power utility functions
2010/10/18
We consider the optimal investment problem for Black-Scholes type financial market with bounded VaR measure on the whole investment interval $[0,T]$. The explicit form for the optimal strategies is f...
Optimal investment on finite horizon with random discrete order flow in illiquid markets
liquidity modelling discrete order flow optimal investment inhomogenous Poisson process dynamic programming
2010/11/1
We study the problem of optimal portfolio selection in an illiquid market with discrete order flow. In this market, bids and offers are not available at any time but trading occurs more frequently nea...
Optimal Investment Strategy to Minimize Occupation Time
Optimal Investment Strategy Minimize Occupation Time
2010/12/20
We find the optimal investment strategy to minimize the expected time that an individual's wealth stays below zero, the so-called {\it occupation time}. The individual consumes at a constant rate and...
Optimal investment and consumption in a Black--Scholes market with Lévy-driven stochastic coefficients
Optimal investment consumption Black--Scholes market Lévy-driven stochastic coefficients
2010/12/20
In this paper, we investigate an optimal investment and consumption problem for an investor who trades in a Black--Scholes financial market with stochastic coefficients driven by a non-Gaussian Ornst...