This paper introduces optimal expected utility (OEU) risk measures, investigates their main properties and puts them in perspective to alternative risk measures and notions of certainty equivalents. Taking the investor's point of view, OEU maximizes the sum of capital available today and the...

This thesis deals with the relationship between no-arbitrage and (strictly) consistent price processes for a financial market with proportional transaction costs in a discrete time model. The exact mathematical statement behind this relationship is formulated in the so-called Fundamental Theorem...

<Para ID="Par1">The aim of this paper is to prove the fundamental theorem of asset pricing (FTAP) in finite discrete time with proportional transaction costs by utility maximization. The idea goes back to L.C.G. Rogers’ proof of the classical FTAP for a model without transaction costs. We consider one risky...</para>

In a fully general semimartingale setting, this article establishes existence, uniqueness, monotonicity, concavity, and a utility gradient inequality for continuous-time recursive utility in the Epstein-Zin parametrization with relative risk aversion $\gamma$ and elasticity of intertemporal...

We establish a convergence theorem that shows that discrete-time recursive utility, as developed by Kreps and Porteus (1978), converges to stochastic di erential utility, as introduced by Du e and Epstein (1992), in the continuous-time limit of vanishing grid size

We establish a convergence theorem that shows that discrete-time recursive utility, as developed by Kreps and Porteus (1978), converges to stochastic differential utility, as introduced by Duffie and Epstein (1992), in the continuous-time limit of vanishing grid size.

We study consumption-portfolio and asset pricing frameworks with recursive preferences and unspanned risk. We show that in both cases, portfolio choice and asset pricing, the value function of the investor/representative agent can be characterized by a specific semilinear partial differential...