This paper considers an infinite horizon investment-consumption model in which a single agent consumes and distributes his wealth between two assets, a bond and a stock. The problem of maximization of the total utility from consumption is treated, when state (amount allocated in assets) and...

This paper develops an approach for valuing flexible production systems using contingent claims pricing. Demand curves for the authors' model's underlying assets (output products) may be downward sloping, in contrast with the standard option pricing assumption. Also, their marginal production...

This paper develops a theory of capital structure in an international setting with corporate and personal taxes. The authors generalize the analysis of M. M. Miller (1987) to an international equilibrium characterized by differential international taxation and inflation in otherwise perfect...

Cross-holding occurs when listed corporations own securities issued by other corporations. We analyze the effect of cross-holdings on market capitalization and return measures as well as implications for econometric testing of asset pricing theories. We show that cross-holdings generally distort...

We combine forward investment performance processes and ambiguity averse portfolio selection. We introduce the notion of robust forward criteria which addresses the issues of ambiguity in model specification and in preferences and investment horizon specification. It describes the evolution of...

We study a generalization of the Merton's original problem of optimal consumption and portfolio choice for a single investor in an intertemporal economy. The agent trades between a bond and a stock account and he may consume out of his bond holdings. The price of the bond is deterministic as...

We study a generalization of the Merton's original problem of optimal consumption and portfolio choice for a single investor in an intertemporal economy. The agent trades between a bond and a stock account and he may consume out of his bond holdings. The price of the bond is deterministic as...

We consider the problem of optimal portfolio selection under forward investment performance criteria in an incomplete market. The dynamics of the prices of the traded assets depend on a pair of stochastic factors, namely, a slow factor (e.g. a macroeconomic indicator) and a fast factor (e.g....

We study the optimal investment and consumption problem of a CRRA investor when the drift and volatility of the stock are driven by a correlated factor. The myopic and non-myopic components of the optimal portfolio process are characterised in terms of the market price of traded and non-traded...