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...

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...

We consider a notion of weak no arbitrage condition commonly known as Robust No Unbounded Profit with Bounded Risk (RNUPBR) in the context of continuous time markets with small proportional transaction costs. We show that the RNUPBR condition on terminal liquidation value holds if and only if...

Due to its significance, forecasting asset volatility has been an active area of research in recent decades. In this whitepaper we aim to take into account the stylised facts of volatility to improve predictive power of a simple GARCH model. We investigate the power of three GARCH models (GARCH,...