In this paper we deal with a utility maximization problem at finite horizon on a continuous-time market with conical (and time varying) constraints (particularly suited to model a currency market with proportional transaction costs). In particular, we extend the results in Campi and Owen (2011)...

This paper extends the concept of precautionary premium to a multivariate setting so as to measure the intensity of the precautionary saving motive to protect against multivariate risks. This makes it possible to disentangle and to link the various motives of precautionary saving depending on...

In this paper we deal with a utility maximization problem at finite horizon on a continuous-time market with conical (and time varying) constraints (particularly suited to model a currency market with proportional transaction costs). In particular, we extend the results in Campi and Owen (2011)...