We study the deterministic control problem of maximizing utility from consumption of an agent who seeks to optimally allocate his wealth between consumption and investment in a financial asset subject to taxes on benefits with first-in-first-out priority rule on sales. Short sales are prohibited...

Here, we study the case where the portfolio rebalancement involves the payment of taxes on benefits. Then, the purchasing time of the asset to be sold has to be recorded in order to compute the amount of tax to be paid. In addition to the no-short-selling constraint, our model assumes that sales...

In this paper we consider a family of investment project defined by their deterministic cash flows. We assume stationarity - that is, projects available today are the same as those available in the past. In this framework, we prove that the absence of arbitrage opportunities is equivalent to the...

We derive the implications from the absence of arbitrage in dynamic securities market with bi-ask spreads. The absence of arbitrage is equivalent to the existence of at least an equivalent probability measure that transforms some process between the bid and the ask price processes of traded...

A angent's optimization problem of the expected terminal wealth utility in a trinomial tree economy is solved. At each transaction date, the agent can trade in a riskless asset, a primitive asset subject to constant proportional transaction costs, and a contingent claim characterized by some...

We consider a general equilibrium model in which the production sector may exhibit increasing returns to scale or more general types of nonconvexities. We assume that the firms follow general pricing rules. Under standard assumptions in this model, we establish an index formula, which...

This paper constructs a closed set Y in R' such that for all y in the boundary of Y Clarke's normal cone to Y at y is equal to R'+. If Y is the production set of a tirm, then the marginal cost pricing rule imposes no restriction. The existence of Y is shown to be equivalent to the existence of a...

We consider the problem of optimal risk sharing of some given total risk between two economic agents characterized by law-invariant monetary utility functions or equivalently, law-invariant risk measures. We first prove existence of an optimal risk sharing allocation which is in addition...

The theory of asset pricing, which takes its roots in the Arrow-Debreu model, the Black and Scholes formula, has been famalized in a framework by Harrison and Kreps (1979), harrison and Pliska (1979) and Kreps (1981). In these models, securities markets are assumed to be frictionless. The main...

The theory of asset pricing takes its roots in the Arrow-Debreu model (see,for instance, Debreu 1959, Chap. 7), the Black and Scholes (1973) formula,and the Cox and Ross (1976) linear pricing model. This theory and its link to arbitrage has been formalized in a general framework by Harrison and...