We study an optimal consumption-portfolio selection problem in which an economic agent is able to choose a discretionary stopping time in a continuous-time framework. We focus on studying the problem for the case where the agent’s preference changes around the stopping time. We obtain the...

We study an optimal consumption-portfolio selection problem in which an economic agent is able to choose a discretionary stopping time in a continuous-time framework. We focus on studying the problem for the case where the agent’s preference changes around the stopping time. We obtain the...

We study an investor¡¯s decision to switch from active portfolio management to passive management. This problem is mathematically modelled by a mixture of a consumption-portfolio selection problem and an optimal stopping problem. We assume that the investor has stochastic differential utility...

This paper studies the consumption and portfolio selection problem of an agent who is liquidity constrained and has uninsurable income risk in a discrete time setting. It gives properties of optimal policies and presents numerical solutions. The paper, in particular, shows that liquidity...

We apply a meshfree method using the fast moving least squares approximation to option pricing, particularly for the purpose of obtaining high-order Greeks. The method is shown to be accurate and efficient in obtaining prices and Greeks of European, Asian and Barrier options. We also include a...

Standard literature concludes that transaction costs only have a "second-order" effect on liquidity premia. We show that this conclusion depends crucially on the assumption of a constant investment opportunity set. In a regime-switching model in which the investment opportunity set varies over...

In this note we show the following result of Dybvig (1995) is valid for a general von Neumann–Morgenstern utility function: for an agent who does not tolerate a decline in consumption, the optimal investment out of discretionary wealth (in excess of the perpetuity value of current consumption)...