With constrained portfolios, contingent claims do not generally have a unique price, for which there are no arbitrage opportunities. We generalize earlier results of El Karoui and Quenez (1995) and Cvitanic and Karatzas (1993) by showing that there is an interval of no-arbitrage prices, when...

Many problems in modern financial economics involve the solution of continuous-time, continuous-state stochastic control problems. Since explicit solutions of such problems are extremely rare, efficient numerical methods are called for. The Markov chain approximation approach provides a class of...

We examine the optimal consumption and portfolio choice of an investor having an initial wealth endowment and an uncertain stream of income from non-traded assets. The income stream is not spanned by traded assets, and the investor is not allowed to borrow against future income, so the financial...