In this paper we consider a market driven by a Wiener process where there is an insider and a regular trader. The insider has privileged information which has been deformed by an independent noise vanishing as the revelation time approaches. At this time, the information of every trader is the...

We consider a financial market with costs as in Kabanov and Last (1999). Given a utility function defined on ${\mathbb R}$, we analyze the problem of maximizing the expected utility of the liquidation value of terminal wealth diminished by some random claim. We prove that, under the Reasonable...

<Para ID="Par1">We consider the problem of optimal investment with intermediate consumption in the framework of an incomplete semimartingale model of a financial market. We show that a necessary and sufficient condition for the validity of key assertions of the theory is that the value functions of the primal...</para>

<Para ID="Par1">We price a contingent claim liability (claim for short) using a utility indifference argument. We consider an agent with exponential utility, who invests in a stock and a money market account with the goal of maximizing the utility of his investment at the final time T in the presence of a...</para>

To any utility maximization problem under transaction costs one can assign a frictionless model with a price process S <Superscript>∗</Superscript>, lying in the bid/ask price interval <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$[\underline{S}, \overline{S}]$</EquationSource> </InlineEquation>. Such a process S <Superscript>∗</Superscript> is called a shadow price if it provides the same optimal utility value as in the...</superscript></equationsource></inlineequation></superscript>

We consider an investor maximizing his expected utility from terminal wealth with portfolio decisions based on the available information flow. This investor faces the opportunity to acquire some additional initial information ${\cal G}$. His subjective fair value of this information is defined...

We investigate the problem of maximizing the robust utility functional <InlineEquation ID="Equ1"> <EquationSource Format="TEX">$\inf_{Q \in \mathcal{Q}} E_Qu(X)$</EquationSource> </InlineEquation>. We give the dual characterization for its solution for both a complete and an incomplete market model. To this end, we introduce the new notion of reverse f-projections and use techniques...</equationsource></inlineequation>