We consider the problem faced by an investor who must liquidate a given basket of assets over a finite time horizon. The investor's goal is to maximize the expected utility of the sales revenues over a class of adaptive strategies. We assume that the investor's utility has constant absolute risk...

We consider the problem faced by an investor who must liquidate a given basket of assets over a finite time horizon. The investor's goal is to maximize the expected utility of the sales revenues over a class of adaptive strategies. We assume that the investor's utility has constant absolute risk...

In this note we prove Hölder-type inequalities for products of certain functionals of correlated Brownian motions. These estimates are applied to the study of optimal portfolio choice in incomplete markets when the investor's utility is of the form U(X,Y)=g(X)h(Y), where X is the investor's...

This paper is concerned with the axiomatic foundation and explicit construction of a general class of optimality criteria that can be used for investment problems with multiple time horizons, or when the time horizon is not known in advance. Both the investment criterion and the optimal strategy...

This note analyzes the mean-reverting behavior of time-homogeneous Heath-Jarrow-Morton (HJM) forward rate models in the weighted Sobolev spaces {H<Subscript> w </Subscript>}<Subscript> w </Subscript>. An explicit sufficient condition is given under which invariant measures exist for the HJM dynamics. In particular, every HJM model with...</subscript></subscript>

We consider the problem of hedging a European interest rate contingent claim with a portfolio of zero-coupon bonds and show that an HJM type Markovian model driven by an infinite number of sources of randomness does not have some of the shortcomings found in the classical finite-factor models....