We study the deterministic control problem of maximizing utility from consumption of an agent who seeks to optimally allocate his wealth between consumption and investment in a financial asset subject to taxes on benefits with first-in-first-out priority rule on sales. Short-sales are prohibited...

In this paper we study some foundational issues in the theory of asset pricing with market frictions. We model market frictions by letting the set of marketed contingent claims (the opportunity set) be a convex set, and the pricing rule at which these claims are available be convex. This is the...

We consider a complete financial market with primitive assets and derivatives on these primitive assets. Nevertheless, the derivative as sets are non-redundant in the market, in the sense that the market is complete, only with their existence. In such a framework, we derive an equilibrium...

In Jouini and Kallal (1995a), the authors characterized the absence of arbitrage opportunities for contingent claims with cash delivery in the presence of bid-ask spreads. Other authors obtained similar results for a more general definition of the contingent claims but assuming some specific...

In this paper we provide a price characterization of efficient consumption bundles in multiperiod economies with market frictions. Efficient consumption bundles are those that are chosen by at least one rational agent with monotonic state-independent and risk-averse preferences and a given...

This paper studies foundational issues in securities markets models with fixed costs of trading, i.e. transaction costs that are bounded regardless of the transaction size, such as fixed brokerage fees, investment taxes, operational and processing costs, or opportunity costs. We show that the...

We consider a model in which all investment opportunities are described in terms of cash flows. We don't assume that there is a numeacute;raire, the time horizon is not supposed to be finite, the investment opportunities are not specifically related to the buying and selling of securities on a...

This paper studies foundational issues in securities markets models with fixed costs of trading, i.e. transaction costs that are bounded regardless of the transaction size, such as : fixed brokerage fees, investment taxes, operational and processing costs, or opportunity costs. We show that the...

The problem of fair pricing of contingent claims is well understood in the context of an arbitrage free, complete financial market, with perfect information. But in the more realistic context of an incomplete market or with imperfect information, the arbitrage approach does not enable us to...