An agent can distribute his wealth between two investments, one with a fixed rate of return r and the other with a random rate of return (modeled as a diffusion) with mean r. The agent seeks to maximize total discounted utility from consumption over an infinite horizon. Consumption may be...

This paper solves a general consumption and investment decision problem in closed form. An investor seeks to maximize total expected discounted utility of consumption. There are N distinct risky investments, modeled by dependent geometric Brownian motion processes, and one risk-less...

This paper deals with the problem of the financial valuation of a firm and its shares of stock with given financing policies in a general stochastic environment. A model of the firm is described which includes the price-dividend balance integral equation whose solution yields the time path of...

This paper deals with the problem of the financial valuation of a firm and its shares of stock with general financing policies in a partial equilibrium framework. The model assumes a time-dependent discount rate and a general stochastic environment in a discrete-time setting. the fundamental...

This paper presents an asymptotic analysis of a hierarchical manufacturing system with machines subject to breakdown and repair. The rate of change in machine states is much larger than the rate of fluctuation in demand and the rate of discounting of costs, and this gives rise to a limiting...

This paper provides a rigorous mathematical treatment of the problem of valuation of a firm in a deterministic, partial equilibrium framework. It is shown that the dividend and arbitrage approaches to valuation are not equivalent in general. A necessary and sufficient condition for their...

Is the pricing of index and individual stock options consistent with a factor model of stock returns? To answer this question, we use returns and option prices for a cross-section of stocks and a market index to carry out an integrated estimation of a multivariate stochastic volatility models...

Supply chains today routinely use third parties for many strategic activities, such as manufacturing, R&D, or software development. These activities often include relationship-specific investment on the part of the vendor, while final outcomes can be uncertain. Therefore, writing complete...

We consider a cooperative advertising channel consisting of a manufacturer selling its product through a retailer in competition with another independent retailer. The manufacturer subsidizes its retailer's advertising only when a certain threshold is positive. Moreover, the manufacturer's...

Cooperative advertising is an incentive offered by a manufacturer to influence retailers' promotional decisions. We study a dynamic durable goods duopoly with a manufacturer and two independent and competing retailers. The manufacturer as a Stackelberg leader announces his wholesale prices and...