We consider a financial market with costs as in Kabanov and Last (1999). Given a utility function defined on ${\mathbb R}$, we analyze the problem of maximizing the expected utility of the liquidation value of terminal wealth diminished by some random claim. We prove that, under the Reasonable...

Adding volatility exposure to an equity portfolio offers interesting opportunities for long-term investors. This article discusses the advantages of adding a long volatility strategy for a protection to a global European equity portfolio and to specific equity portfolios based in "core" or...

In the first part of the paper, we study concepts of supremum and maximum as subsets of a topological space X endowed by preference relations. Several rather general existence theorems are obtained for the case where the preferences are defined by countable semicontinuous multi-utility...