This thesis deals with rational investors who maximize their expected utility in incomplete markets. In Part I, we consider models where incompleteness is induced by jumps and stochastic volatility. Using martingale methods we determine optimal investment strategies for power utility in a wide class of different models. Moreover, we show how first-order approximations of utility-based prices an...

Futures contract is one of the most important derivatives that is used in financial markets in all over the world to buy or sell an asset or commodity in the future. Pricing of this tool depends on expected price of asset or commodity at the maturity date. According to this, theoretical futures pricing models try to find this expected price in order to use in the futures contract. So in this ar...

futures contract is one of the most important derivatives that is used in financial markets in all over the world to buy or sell an asset or commodity in the future. pricing of this tool depends on expected price of asset or commodity at the maturity date. according to this, theoretical futures pricing models try to find this expected price in order to use in the futures contract. so in this ar...

Inflation expectations elicited in surveys have been found to exhibit large dispersion across individuals. Although several explanations proposed, none fully explain this puzzle. We explore paper a new behavioral factor: social comparison. Using original survey data, we find that respondents who feel they are falling behind compared their peers report significantly and substantially higher infl...

  The optimal harvesting policy is calculated as a function of the entering stock, the price state, the harvesting cost, and the rate of interest in the capital market. In order to determine the optimal harvest schedule, the growth function and stumpage price process are estimated for the Swedish mixed species forests. The stumpage price is assumed to follow a stochastic Markov process. A stoch...

This paper studies the problem of maximizing the expected utility of terminal wealth for a financial agent with an unbounded random endowment, and with a utility function which supports both positive and negative wealth. We prove the existence of an optimal trading strategy within a class of permissible strategies – those strategies whose wealth process is a supermartingale under all pricing me...

Abstract This paper examines whether adding expected dividend yields implied by analyst forecasts to capital gains target prices improves the portfolio strategy of buying stocks with highest returns and selling lowest returns. We find that based on total performs only slightly better at 1-month horizon because short-term return predictability yield is weak. generates significant abnormal regard...