We pursue an inverse approach to utility theory and associated consumption and investment problems. Instead of specifying a utility function and deriving the actions of an agent, we assume that we observe the actions of the agent (i.e. consumption and investment strategies) and ask if it is...

Let Xϕ denote the trading wealth generated using a strategy ϕ, and let CT be a contingent claim which is not spanned by the traded assets. Consider the problem of finding the strategy which maximizes the probability of terminal wealth meeting or exceeding the claim value at some fixed time...

A canonical problem in real option pricing, as described in the classic text of Dixit and Pindyck [2], is to determine the optimal time to invest at a fixed cost, to receive in return a stochastic cashflow. In this paper we are interested in this problem in an incomplete market where the...