By postulating a simple stochastic process for the firm's cash flows in which the drift and the variance of the process depend on the investment policy of the firm, we develop a theoretical model, determine the optimal investment policy and, given this policy, calculate the ratio of the current...

In a continuous-time framework, the issue of how to delegate an investor's portfolio decision to a portfolio manager is studied. Firstly, we solve the first-best problem where the investor is able to force the manager to implement a certain strategy. For the second-best case, a specific...

Climate change is considered as one of the major global challenges. Although countries past and future contributions to the accumulation of greenhouse gases in the atmosphere are different, all countries are affected, but not necessarily in the same way (e.g. rising sea levels). This is the...

We consider investment problems in a continuous-time setting and show that the proper control variables are elasticities to the traded assets or, in the case of stochastic interest rates, (factor) durations. This formulation of a portfolio problem allows us to solve the problems in a kind of...

Given an investor maximizing utility from terminal wealth with respect to a power utility function, we present a verification result for portfolio problems with stochastic volatility. Applying this result, we solve the portfolio problem for Heston's stochastic volatility model. We find that only...

Given an investor maximizing utility from terminal wealth with respect to a power utility function, we present a verification result for portfolio problems with stochastic volatility. Applying this result, we solve the portfolio problem for Heston's stochastic volatility model. We find that only...

Credit risk is an important issue of current research in finance. While there is a lot of work on modelling credit risk and on valuing credit derivatives there is no work on continuous-time portfolio optimization with defaultable securities. Therefore, in this paper we solve investment problems...

Credit risk is an important issue of current research in finance. While there is a lot of work on modelling credit risk and on valuing credit derivatives there is no work on continuous-time portfolio optimization with defaultable securities. Therefore, in this paper we solve investment problems...

This paper documents a gender revenue gap arising when individuals sell personal belongings such as china, jewelry, paintings, toys, and furniture. We study a novel data set that is hand-collected from a popular TV show which is watched every weekday by more than 2 million people. The median...

In this paper we present some counter-examples to show that an uncritical application of the usual methods of continuous-time portfolio optimization can be misleading in the case of a stochastic opportunity set. Cases covered are problems with stochastic interest rates, stochastic volatility,...