English, Article edition: OPTIMAL CONTINGENT CLAIMS AND CONSUMPTION DAHENG PENG; MAOAN HAN

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Physical Description
  • article
Language
  • English

Edition details

Title
  • OPTIMAL CONTINGENT CLAIMS AND CONSUMPTION
Author
  • DAHENG PENG
  • MAOAN HAN
Physical Description
  • article
Notes
  • In complete financial markets, given a particular market variable, which could be finite dimensional (e.g., a price vector of a collection of stocks) or infinite dimensional (e.g., a price trajectory of some security over some period of time), the unique optimal strategy of consumption and investment in European claims contingent on that variable is obtained from two kinds of preference structure. Several examples are given to illustrate the optimality of the strategy. Results obtained in this paper are an extension of Jankunas [4].
  • Contingent claim, consumption, utility, payoff function, preference structure
  • RePEc:wsi:ijtafx:v:08:y:2005:i:04:p:463-482
Language
  • English
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