We study a problem of optimal investment/consumption over an infinite horizon in a market consisting of two possibly correlated assets: one liquid and one illiquid. The liquid asset is observed and can be traded continuously, while the illiquid one can be traded only at discrete random times...

We study a problem of optimal investment/consumption over an infinite horizon in a market consisting of a liquid and an illiquid asset. The liquid asset is observed and can be traded continuously, while the illiquid one can only be traded and observed at discrete random times corresponding to...

We consider an illiquid financial market with different regimes modeled by a continuous-time finite-state Markov chain. The investor can trade a stock only at the discrete arrival times of a Cox process with intensity depending on the market regime. Moreover, the risky asset price is subject to...

<Para ID="Par1">This paper deals with an investment–consumption portfolio problem when the current utility depends also on the wealth process. Such problems arise e.g. in portfolio optimization with random horizon or random trading times. To overcome the difficulties of the problem, a dual approach is...</para>

We consider an illiquid financial market with different regimes modeled by a continuous-time finite-state Markov chain. The investor can trade a stock only at the discrete arrival times of a Cox process with intensity depending on the market regime. Moreover, the risky asset price is subject to...

This paper deals with a constrained investment problem for a defined contribution (DC) pension fund where retirees are allowed to defer the purchase of the annuity at some future time after retirement.

This paper deals with a constrained investment problem for a defined contribution (DC) pension fund where retirees are allowed to defer the purchase of the annuity at some future time after retirement. This problem has already been treated in the unconstrained case in a number of papers. The aim...

This paper deals with a constrained investment problem for a defined contribution (DC) pension fund where retirees are allowed to defer the purchase of the annuity at some future time after retirement. This problem has already been treated in the unconstrained case in a number of papers. The aim...

In this paper we argue that differences in the investment projects’ features can help to explain the observed differentials in output growth and in output volatility across countries. This result is achieved by studying analytically an endogenous growth model where investments are...