We present a new model of forward dynamic utilities. In doing so, we provide unique (viscosity) solutions. In addition, we introduce Hausdorff-continuous viscosity solutions to the portfolio model.

We devise an estimation methodology which allows preferences estimation and comparative statics analysis without a reliance on Taylor’s approximations and the indirect utility function.

In this paper, we provide general closed-form solutions to the incomplete-market random-coefficient dynamic optimization problem without the restrictive assumption of exponential or HARA utility function. Moreover, we explicitly express the optimal portfolio as a function of the optimal...

We introduce a new utility-based approach to pricing European and American options. In so doing, we overcome some of the limitations of the existing models.

We introduce a new utility-based approach to pricing European and American options. In so doing, we overcome some of the limitations of the existing models.

We present a new model of stopping times and American options. In so doing, we solve the free-boundary problem.