We analyze a problem of maximization of expected terminal wealth and consumption in markets with some quot;imperfectionquot;, such as constraints on the permitted portfolios, labor income, or/and nonlinearity of portfolio dynamics. By using general optional decomposition under constraints in...

We analyze a problem of maximization of expected terminal wealth and consumption under constraints in a general financial framework, which includes models with constrained portfolios, labor income and large investor models. By introducing the new finite probability space, as well as a new...

In this paper we present an analytical method in pricing European contingent assets, whose state variables follow a multi-dimensional Levy process. We give an explicit formula for the hypothetical European quot;two-pricequot; call option price by means of the conditional characteristic...

We extend the duality approach developed by Kramkov and Schachermayer (1999) to cover the case of a general financial framework that includes models with some “imperfection”, such as constrained proportion portfolios, labor income, random endowment and large investor. General objective...

We extend the duality approach developed by Kramkov and Schachermayer (1999) to cover the case of a general financial framework that includes models with some “imperfection”, such as constrained proportion portfolios, labor income, random endowment and large investor. General objective...