In this thesis we deal with different topics in financial mathematics, that are all related to market imperfections and to the fundamental technique of utility maximization. The work consists of three parts. In the first one, which is based on two papers, we consider the problem of optimal...

In this paper we deal with a utility maximization problem at finite horizon on a continuous-time market with conical (and time varying) constraints (particularly suited to model a currency market with proportional transaction costs). In particular, we extend the results in Campi and Owen (2011)...

The age structure of the French population has been experiencing dramatic changes over the past decades and is likely to do so in a near future. The increasing proportion of the elder people may modify the savings behaviour of households. The level of savings, as well as its composition, may be...

We test here the kahneman (kahneman 2011) results about fund managers: that is, do managers are really skilled or could any chimpanzee do the job? Moreover, the recent stormy period should enlighten us about the interest to invest in mutual funds: do they over perform the market? Do they smooth...

The age structure of the French population has been experiencing dramatic changes over the past decades and is likely to do so in a near future. The increasing proportion of elder people may modify the saving behaviour of French households. The level of saving, as well as its composition, may be...