We introduce a bond portfolio management theory based on foundations similar to those of stock portfolio management. A general continuous-time zero-coupon market is considered. The problem of optimal portfolios of zero-coupon bonds is solved for general utility functions, under a condition of...

In this paper we study BSDEs arising from a special class of backward stochastic partial differential equations (BSPDEs) that is intimately related to utility maximization problems with respect to arbitrary utility functions. After providing existence and uniqueness we discuss the numerical...

We extend the analysis of the intertemporal utility maximization problem for Hindy-Huang-Kreps utilities reported in Bank and Riedel (1998) to the stochastic case. Existence and uniqueness of optimal consumption plans are established under arbitrary convex portfolio constraints, including both...

We extend the analysis of the intertemporal utility maximization problem for Hindy-Huang-Kreps utilities reported in Bank and Riedel (1998) to the stochastic case. Existence and uniqueness of optimal consumption plans are established under arbitrary convex portfolio constraints, including both...

We study the intertemporal utility maximization problem for Hindy-Huang-Kreps utilities. Necessary and sufficient conditions for optimality are given. An explicit solution is provided for a large class of utility functions. In particular, the case of separable power utilities with a finite time...

We study the intertemporal utility maximization problem for Hindy-Huang-Kreps utilities. Necessary and sufficient conditions for optimality are given. An explicit solution is provided for a large class of utility functions. In particular, the case of separable power utilities with a finite time...

Manos B., Bournaris T., Kamruzzaman M., Begum M., Anjuman A. and Papathanasiou J. (2006) Regional impact of irrigation water pricing in Greece under alternative scenarios of European policy: a multicriteria analysis, Regional Studies 40, 1-15. This study simulates the impact that various...

A general class, introduced in [7], of continuous time bond markets driven by a standard cylindrical Brownian motion <InlineEquation ID="Equ1"> <EquationSource Format="TEX">$\bar{W}$</EquationSource> </InlineEquation> in <InlineEquation ID="Equ2"> <EquationSource Format="TEX">$\ell^{2}$</EquationSource> </InlineEquation> is considered. We prove that there always exist non-hedgeable random variables in the space <InlineEquation ID="Equ3"> <EquationSource Format="TEX">$\textsf{D}_{0}=\cap_{p \geq 1}L^{p}$</EquationSource> </InlineEquation> and that <InlineEquation ID="Equ4"> <EquationSource...</equationsource></inlineequation></equationsource></inlineequation></equationsource></inlineequation></equationsource></inlineequation>

We consider the problem of delegated portfolio management when the involved parties are risk-averse. The agent invests the principal's money in the financial market, and in return he receives a compensation which depends on the value that he generates over some period of time. We use a dual...