We derive a necessary and sufficient condition for the existence of a nonnegative equilibrium price vector under which the total demand and supply of each asset balances in the standard mean-variance capital market. Also, we give an explicit formula for such a price vector. This formula shows...

We study an optimal consumption and portfolio selection problem for an investor by a martingale approach. We assume that time is a discrete and finite horizon, the sample space is finite and the number of securities is smaller than that of the possible securities price vector transitions. the...

We study a continuous trading bond model where the associated forward rate curve follows a multidimensional Poisson-Gaussian process. the bond market is complete, and the unique arbitrage-free interest rate call option price is explicitly derived. Copyright 1991 Blackwell Publishers.