This paper analyses the portfolio problem of an investor who wants to maximize the expected power utility of his terminal wealth both in a complete and an incomplete financial market. We derive sufficient conditions for having a closed form solution. These conditions must hold on a suitable...

We consider a stochastic model for a defined-contribution pension fund in continuous time. In particular, we focus on the portfolio problem of a fund manager who wants to maximize the expected utility of his terminal wealth in a complete financial market with stochastic interest rate. The fund...

In this paper the problem of allocation over time of total cost incurred by coalitions of countries in a coalitional game of pollution reduction is considered. The Nash equilibrium in the game played by coalitions is computed and then the value of each coalition is allocated according to some...

We consider the problem faced by an investor who must liquidate a given basket of assets over a finite time horizon. The investor's goal is to maximize the expected utility of the sales revenues over a class of adaptive strategies. We assume that the investor's utility has constant absolute risk...

A game-theoretic model of territorial environmental production under Cournot competition is studied. The process is modeled as cooperative differential game. The stable distribution mechanism of the common cooperative benefit among players is proposed. We proved that the cooperative total stock...