This paper studies a portfolio optimization problem in a discrete-time Markovian model of a financial market, in which asset price dynamics depend on an external process of economic factors. There are transaction costs with a structure that covers, in particular, the case of fixed plus...

We explore properties of the value function and existence of optimal stopping times for functionals with discontinuities related to the boundary of an open (possibly unbounded) set . The stopping horizon is either random, equal to the first exit from the set , or fixed (finite or infinite). The...

This paper introduces a general continuous-time mathematical framework for solution of dynamic mean–variance control problems. We obtain theoretical results for two classes of functionals: the first one depends on the whole trajectory of the controlled process and the second one is based on...

This paper studies properties of an estimator of mean–variance portfolio weights in a market model with multiple risky assets and a riskless asset. Theoretical formulas for the mean square error are derived in the case when asset excess returns are multivariate normally distributed and...

The timing of strategic exit is one of the most important but difficult business decisions, especially under competition and uncertainty. Motivated by this problem, we examine a stochastic game of exit in which players are uncertain about their competitor's exit value. We construct an...

This paper studies properties of an estimator of mean-variance portfolio weights in a market model with multiple risky assets and a riskless asset. Theoretical formulas for the mean square error are derived in the case when asset excess returns are multivariate normally distributed and serially...

This paper aims to open a new avenue for research in continuoustime financial market models with endogenous prices and heterogenous investors. The main result is the derivation of the limit of a discretetime evolutionary stock market model as the length of the time period tends to zero. The...