Showing 1 - 10 of 313
Persistent link: https://www.econbiz.de/10011969083
This paper studies the utility maximization problem on the terminal wealth with both random endowments and proportional transaction costs. To deal with unbounded random payoffs from some illiquid claims, we propose to work with the acceptable portfolios defined via the consistent price system...
Persistent link: https://www.econbiz.de/10012992334
Persistent link: https://www.econbiz.de/10012055802
Persistent link: https://www.econbiz.de/10013365743
Persistent link: https://www.econbiz.de/10014463999
This paper studies the infinite horizon optimal consumption with a path-dependent reference under the exponential utility. The performance is measured by the difference between the non-negative consumption rate and a fraction of the historical consumption maximum. The consumption running maximum...
Persistent link: https://www.econbiz.de/10013226821
Persistent link: https://www.econbiz.de/10013534508
Persistent link: https://www.econbiz.de/10013555418
Persistent link: https://www.econbiz.de/10011442246
This paper studies competitions with rank-based reward among a large number of teams. Within each sizable team, we consider a mean-field contribution game in which each team member contributes to the jump intensity of a common Poisson project process; across all teams, a mean field competition...
Persistent link: https://www.econbiz.de/10012829651