We consider a problem of optimal gradual liquidation of equity from a risky asset for continuous time stochastic market model. The owner of the risky asset uses this equity as a source of steady cash flow by borrowing money permanently against thisequity. At the terminal time, there is no equity...

Existing studies of household stock trading using administrative data offer conflicting results: discount brokerage accounts exhibit excessive trading, while retirement accounts show inactivity. This paper uses population-wide data from PSID and SCF to examine the overall extent of household...

The paper studies multi-stock discrete time market models with serial correlations and with some management costs. We found a market structure that ensures that the optimal strategy is myopic for the case of either power or log utility function

The paper studies discrete time mean-reverting market models. It is shown that a correct choice of initial conditions ensures existence of an equivalent martingale measure for any finite time horizon. This leads to a pricing rule for options and absence of arbitrage. Further, it is shown that...

We study an optimal investment problem for a diffusion market model such that the risk-free rate, the appreciation rates and the volatility of the stocks are all random; they are not necessarily adapted to the driving Brownian motion, and their distributions are unknown, but they are supposed to...

We study arbitrage opportunities and possible speculative opportunities for diffusion mean-reverting market models. We prove that the Novikov condition is satisfied for any time interval and for any set of parameters. It is non-trivial because the appreciation rate has conditionally Gaussian...

We consider optimal investment problems for a diffusion market model with non-observable random drifts that evolve as an Ito's process. Admissible strategies do not use direct observations of the market parameters, but rather use historical stock prices. For a non-linear problem with a general...

The paper investigates a problem of bounded risk portfolio selection for a multi-period market in the case when only historical prices are available, and all market parameters are not observable. We present a strategy which bounds risk closely to a risk-free investment and guarantees at the same...

Is wider access to stockholding opportunities related to reduced wealth inequality, given that it creates challenges for small and less sophisticated investors? Counterfactual analysis is used to study the influence of changes in the US stockholder pool and economic environment, on the...