We study utility maximization for power utility random elds with and without intermediate consumption in a general semimartingale model with closed portfolio constraints. We show that any optimal strategy leads to a solution of the corresponding Bellman equation. The optimal strategies are described pointwise in terms of the opportunity process, which is… (More)
The corticotropin-releasing hormone receptor 1 (CRHR1) critically controls behavioral adaptation to stress and is causally linked to emotional disorders. Using neurochemical and genetic tools, we determined that CRHR1 is expressed in forebrain glutamatergic and γ-aminobutyric acid-containing (GABAergic) neurons as well as in midbrain dopaminergic neurons.… (More)
Research for this paper was partially carried out within Sonderforschungsbereich 373. This paper was printed using funds made available by the Deutsche Forschungsgemeinschaft.
We consider an investor maximizing his expected utility from terminal wealth with portfolio decisions based on the available information flow. This investor faces the opportunity to acquire some additional initial information G. His subjective fair value of this information is defined as the amount of money that he can pay for G such that this cost is… (More)
This paper studies modeling and existence issues for market models of option prices in a continuous-time framework with one stock, one bond and a family of European call options for one fixed maturity and all strikes. After arguing that (classical) implied volatilities are ill-suited for constructing such models, we introduce the new concepts of local… (More)
We study the utility maximization problem for power utility random elds in a semimartingale nancial market, with and without intermediate consumption. The notion of an opportunity process is introduced as a reduced form of the value process of the resulting stochastic control problem. We show how the opportunity process describes the key objects: optimal… (More)
—We show for continuous semimartingales in a general filtration how the mean-variance hedging problem can be treated as a linear-quadratic stochastic control problem. The adjoint equations lead to backward stochastic differential equations for the three coefficients of the quadratic value process, and we give necessary and sufficient conditions for the… (More)