This paper considers a utility maximization and optimal asset allocation problem in the presence of stochastic endowment that cannot be fully hedged through trading financial market. We rely on dynamic programming approach to solve optimization problem. The properties value function, particularly homogeneity, are used reduce HJB equation by one dimension. Furthermore, strategy is derived, its a...

The Distribution of Top Incomes in Five Anglo-Saxon Countries over the Twentieth Century Taxation data have been used to create long-run series for the distribution of top incomes in quite a number of countries. Most of these studies have focused on the national experience of individual countries, but we can also learn from cross-country comparisons. Comparative analysis is therefore the next s...

The purpose of this study is to analyze the consequence of the existence of positive externality in the optimal choice of a firm’s time of investment in a gaming environment. I consider a situation where firms can increase their subsequent revenue stream by investing at a period of time. The investment opportunity is assumed to be one-time opportunity and once it is made, it cannot be redone, i...