This paper analyzes optimal portfolio choice and consumption with stochastic volatility in incomplete markets. Using the Duffie-Epstein (1992) formulation of recursive utility in continuous time, it shows that the optimal portfolio demand for stocks under stochastic volatility varies strongly...

Consider the cooperative coalition games with side payments. Bargaining sets are calculated for all possible coalition structures to obtain a collection of imputations rather than single imputation. Our aim is to obtain a single payoff vector, which is acceptable by all players of the game under...

The theory of stable probability distributions and their domains of attraction is derived in a direct way(avoiding the usual route via infinitely divisible distributions) using Fourier transforms. Regularly varyingfunctions play an important role in the exposition.