Utility Maximization under Solvency Constraints and Unhedgeable Risks

Utility Maximization and Duality

In an arbitrage free incomplete market we consider the problem of maximizing terminal isoelastic utility. The relationship between the optimal portfolio, the optimal martingale measure in the dual problem and the optimal value function of the problem is described by an BSDE. For a totally unhedgeable price for instantaneous risk, isoelastic utility of terminal wealth can be maximized using a po...

The impact of the market portfolio on the valuation, incentives and optimality of executive stock options

This paper examines the effect on valuation and incentives of allowing executives receiving options to trade on the market portfolio. We propose a continuous time utility maximization model to value stock and option compensation from the executive’s perspective. The executive may invest non-option wealth in the market and riskless asset but not in the company stock itself, leaving them subject ...

Power Utility Maximization in Constrained Exponential Lévy Models

We study power utility maximization for exponential Lévy models with portfolio constraints, where utility is obtained from consumption and/or terminal wealth. For convex constraints, an explicit solution in terms of the Lévy triplet is constructed under minimal assumptions by solving the Bellman equation. We use a novel transformation of the model to avoid technical conditions. The consequences...

On utility maximization under convex portfolio constraints

Assessment of Final Value of Selected Agricultural Products under Water Economic Scenarios

T his research is an attempt to determine the agronomic plan, shadow price and final value with an emphasis on optimization of water use in five main agricultural regions of Kerman province (Kerman, Baft, Bardsir, Bam, and Jiroft) and five crops (wheat, barley, potato, onion, and tomato). Analysis was based on three scenarios: (i) current planting conditions, (ii) profit maximization...