The problem of determining specific utility preference from observed optimal resource allocation procedures is considered. In special cases this is solved completely. Partial solutions and their limitations in this process are also discussed.

Portfolio theory covers different approaches to the construction of a portfolio offering maximum expected returns for a given level of risk tolerance where the goal is to find the optimal investment rule. Each investor has a certain utility for money which is reflected by the choice of a utility...

A discrete-time model of portfolio optimization is studied under the effects of proportional transaction costs. A general class of underlying probability distributions is assumed for the returns of the asset prices. An investor with an exponential utility function seeks to maximize the utility...

In this article, we examine the problem of evaluating the option price of a European call option written on <italic>N</italic> underlying assets when there are proportional transaction costs in the market. Since the portfolio under consideration consists of multiple risky assets, which makes numerical methods...

In this paper we examine the Akian, Menaldi and Sulem (1996) model for the optimal management of a portfolio, when there are transaction costs which are equal to a fixed percentage of the amount transacted. We analyse this model in the realistic limit of small transaction costs. Although the...