This paper deals with the the evolution of portfolio rules in markets withstationary returns and endogenous prices.

This paper derives an analytic expression for the distribution of the average volatility in the stochastic volatility model of Hull and White. This result answers a longstanding question, posed by Hull and White (Journal of Finance 42, 1987), whether such an analytic form exists. Our findings...

The aim of this work is to extend the classical capital growth theory pertaining to frictionless financial markets to models taking into account various kinds of frictions, including transaction costs and portfolio constraints. A natural generalization of the notion of a benchmark investment...