Utility based option evaluation with proportional transaction costs

Article Abstract:

The problem of finding investors reservation prices of European contingent claims is examined in a continuous time finite horizon economy with proportional transaction costs. Numerous properties of reservation prices are derived that reflect their dependency on the size of the option position, the risk aversion and the initial wealth.

Europe, Analysis, Options (Finance), Investment management

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Optimal consumption/investment policies with undiversifiable income risk and liquidity constraints

Article Abstract:

Optimal consumption and investment portfolio choice are considered, using a stochastic control problem solved with the Markov chain approximation method.

Management, Usage, Liquidity (Finance), Markov processes, Mathematical optimization, Optimization theory

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Optimal consumption and investment strategies with a perishable and an indivisible durable consumption good

Article Abstract:

A consumption model is developed to evaluate the investment choices between perishable and durable goods.

Models, Consumption (Economics)

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