We devise an estimation methodology which allows preferences estimation and comparative statics analysis without a reliance on Taylor’s approximations and the indirect utility function.

In this paper, we provide general closed-form solutions to the incomplete-market random-coefficient dynamic optimization problem without the restrictive assumption of exponential or HARA utility function. Moreover, we explicitly express the optimal portfolio as a function of the optimal...

We derive general explicit solutions to the investment-consumption model without the restrictive assumption of HARA or exponential utility function and without reliance on the existing duality or variational methods.

We introduce a new utility-based approach to pricing European and American options. In so doing, we overcome some of the limitations of the existing models.

We present a new model of stopping times and American options. In so doing, we solve the free-boundary problem.

Without imposing restrictions on the utility function and the probability distributions, we show the impact of multiple uncertainty (and each single uncertainty) and change in risk aversion on each input demand. In so doing, we emphasize the importance of the relationship between the inputs in...

We introduce a new utility-based approach to pricing European and American options. In so doing, we overcome some of the limitations of the existing models.

The existing estimation methods are extended to allow the derivation of estimating equations for the optimal hedge and output under simultaneous price and output uncertainty. These equations enable one to conduct hypothesis tests and estimate the comparative statics results obtained by the theory.

We develop a new Taylor-based series that is applicable to non-differentiable functions.