The Markowitz problem consists of finding in a financial market a self-financingtrading strategy whose final wealth has maximal mean and minimal variance. Westudy this in continuous time in a general semimartingale model and under coneconstraints: Trading strategies must take values in a...

We provide a new method to derive the state price density per unit probabilitybased on option prices and GARCH model. We derive the risk neutraldistribution using the result in Breeden and Litzenberger (1978) and thehistorical density adapting the GARCH model of Barone-Adesi, Engle, andMancini...