This paper deals with the super-replication of non path-dependent European claims under additional convex constraints on the number of shares held in the portfolio. The corresponding super-replication price of a given claim has been widely studied in the literature and its terminal value, which dominates the claim of interest, is the so-called facelift transform of the claim. We investigate und...

in this paper, we are examining the relationship between stock trading costs and commitment components and find both abnormal and normal commitments associated with these costs are associated. moreover, stock trading costs have a greater influence by both abnormal and normal negative commitments more than positive commitments. further analysis has shown that in general, investors are unable to ...

Abstract This paper treats the risk-averse optimal portfolio problem with consumption in continuous time with a stochastic-volatility, jump-diffusion (SVJD) model of the underlying risky asset and the volatility. The new developments are the use of the SVJD model with double-uniform jump-amplitude distributions and time-varying market parameters for the optimal portfolio problem. Although unlim...

This paper treats the risk-averse optimal portfolio problem with consumption in continuous time with a stochastic-volatility, jump-diffusion (SVJD) model of the underlying risky asset and the volatility. The new developments are the use of the SVJD model with double-uniform jumpamplitude distributions and time-varying market parameters for the optimal portfolio problem. Although unlimited borro...

We quantify the effects of financial regulation in an equilibrium model with delegated portfolio management. Fund managers trade stocks and bonds in an orderdriven market, subject to transaction taxes and constraints on short-selling and leverage. Results are obtained on the equilibrium properties of portfolio choice, trading activity, market quality and price dynamics under the different regul...

this paper presents the formulation and solution of the combinatorial multi-mode resource constrained multi-project scheduling problem. the focus of the proposed method is not on finding a single optimal solution, instead on presenting multiple feasible solutions, with cost and duration information to the project manager. the motivation for developing such an approach is due in part to practica...

In this paper, we concentrate on discussing the inventory problem under bifuzzy environment and develop a class of multi-objective inventory model with bifuzzy coefficients. We give the bifuzzy transform operarion and prove the method of solving satisfied solution of multi-objective inventory model. These are applied to a practical inventory problem in which all inventory costs, purchasing and ...