A simple discrete-time financial market model is introduced. The market participants consist of a collection of noise traders as well as a distinguished agent who uses the price information as it arrives to update her demand for the assets. It is shown that the distinguished agent's demand...

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 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>