The aim herein is to analyze utility-based prices and hedging strategies. The analysis is based on an explicitly solved example of a European claim written on a nontraded asset, in a model where riskâ€¦ (More)

We study a class of stochastic optimization models of expected utility in markets with stochastically changing investment opportunities. The prices of the primitive assets are modelled as diffusionâ€¦ (More)

A probabilistic iterative algorithm is constructed for indifference prices of claims in a multiperiod incomplete model.At each time step, a nonlinear pricing functional is applied that isolates andâ€¦ (More)

This paper treats the problem of consumption and portfolio choice in continuous time, with stochastic income that cannot be replicated by trading the available securities. The optimal controls andâ€¦ (More)

We present a utility-based methodology for the valuation of early exercise contracts in incomplete markets. Incompleteness stems from nontraded assets on which the contracts are written. Thisâ€¦ (More)

Analytic bounds on the reservation write price of European-style contingent claims are derived in the presence of proportional transaction costs in a model which allows for intermediate trading. Theâ€¦ (More)

We study a generalization of the Merton's original problem of optimal consumption and portfolio choice for a single investor in an intertemporal economy. The agent trades between a bond and a stockâ€¦ (More)

We study the behavior of the optimal portfolio policy of a long-run investor in markets with stationary investment opportunity sets. We provide conditions on the utility function, for large wealthâ€¦ (More)