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This paper proves that in smaller market it is optimal to invest the initial endowment into the bond.
Persistent link: https://www.econbiz.de/10005841589
Following [10] we continue the study of the problem of expected utility maximization in incomplete markets. Our goal is to find minimal conditions on a model and a utility function for the validity of several key assertions of the theory to hold true....
Persistent link: https://www.econbiz.de/10005841616
This paper accompanies a previous one from 1999 by D. Kramkov and the present author. There, we considered utility functions $U:\R_+ \to \R$ satisfying the Inada conditions $U'(0)=\infty$ and $U'(\infty)=0$, in the present paper we consider utility functions $U:\R\to\R$ which are finitely...
Persistent link: https://www.econbiz.de/10005841651
We prove a version of the Fundamental Theorem of Asset Pricing, which applies to Kabanov's approach to foreign exchange markets under transaction costs. The financial market is modelled by a d x d matrix-valued stochastic process Sigma_t_t=0^T specifying the mutual bid and ask prices between d...
Persistent link: https://www.econbiz.de/10005844799