Following [10] we continue the study of the problem of expected utility maximization in incomplete markets. Our goal is to find minimal conditions on a model and a utility function for the validity of several key assertions of the theory to hold true....

We propose a simplified approach to mean-variance portfolio problems by changingtheir parametrisation from trading strategies to final positions. This allows us to treat,under a very mild no-arbitrage-type assumption, a whole range of quadratic optimisationproblems by simple mathematical tools...

The paper examines questions of local asymptotic stability of randomdynamical systems. Results concerning stochastic dynamics ingeneral metric spaces, as well as in Banach spaces, are obtained. Theresults pertaining to Banach spaces are based on the linearization ofthe systems under study. The...

It is well known that mean-variance portfolio selection is a time-inconsistent optimalcontrol problem in the sense that it does not satisfy Bellman’s optimalityprinciple and therefore the usual dynamic programming approach fails. We developa time-consistent formulation of this problem, which...

We implement a long-horizon static and dynamic portfolio allocation involvinga risk-free and a risky asset. This model is calibrated at a quarterly frequencyfor ten European countries. We also use maximum-likelihood estimates andBayesian estimates to account for parameter uncertainty. We nd that...

We analyze numerically the superreplication problem and the associatedhedging strategy in an illiquid binomial market. We prove theexistence of an optimal feedback strategy for European and barrier optionsand compute it numerically by means of a dynamic programmingprinciple. We exhibit that the...

The Spanish immigration phenomenon and its consequences for the insurance industry, The effect of immigration on the demographic time-bomb in Spain; The effect of immigration on the Spanish insurance market...

Immigration context on Spain; Who are them and where do they come from?; What are they looking for?; Life cycle in country of destiny; Life style/profile overview; How to face up the challenge; AXA Spain Experience...

There is strong empirical evidence that the pricing kernel is Ushaped,which provides a way to explain the substantial coskewnesspremium. Existing studies typically use a polynomial approximationof the pricing kernel. Problematically, these polynomials have, inmost cases, increasing parts by...

Many statistical applications require an estimate of a covariance matrix and/or its inverse.When the matrix dimension is large compared to the sample size, which happensfrequently, the sample covariance matrix is known to perform poorly and may suffer fromill-conditioning. There already exists...