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A variational problem arising in financial economics

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  • Cox, John C.
  • Huang, Chi-fu.

Abstract

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  • Cox, John C. & Huang, Chi-fu., 1989. "A variational problem arising in financial economics," Working papers 2110-89., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    • Handle: RePEc:mit:sloanp:2236
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    File URL: http://hdl.handle.net/1721.1/2236
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    References listed on IDEAS

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    1. Philip H. Dybvig, Chi-fu Huang, 1988. "Nonnegative Wealth, Absence of Arbitrage, and Feasible Consumption Plans," The Review of Financial Studies, Society for Financial Studies, vol. 1(4), pages 377-401.
    2. Kreps, David M., 1981. "Arbitrage and equilibrium in economies with infinitely many commodities," Journal of Mathematical Economics, Elsevier, vol. 8(1), pages 15-35, March.
    3. Cox, John C. & Huang, Chi-fu., 1987. "Optimal consumption and portfolio policies when asset prices follow a diffusion process," Working papers 1926-87., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    4. Huang, Chi-fu, 1987. "An Intertemporal General Equilibrium Asset Pricing Model: The Case of Diffusion Information," Econometrica, Econometric Society, vol. 55(1), pages 117-142, January.
    5. Merton, Robert C., 1971. "Optimum consumption and portfolio rules in a continuous-time model," Journal of Economic Theory, Elsevier, vol. 3(4), pages 373-413, December.
    6. Ross Williams, 2013. "Introduction," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 46(4), pages 460-461, December.
    7. Harrison, J. Michael & Pliska, Stanley R., 1981. "Martingales and stochastic integrals in the theory of continuous trading," Stochastic Processes and their Applications, Elsevier, vol. 11(3), pages 215-260, August.
    8. Stanley R. Pliska, 1986. "A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios," Mathematics of Operations Research, INFORMS, vol. 11(2), pages 371-382, May.
    9. Huang, Chi-fu, 1985. "Information structures and viable price systems," Journal of Mathematical Economics, Elsevier, vol. 14(3), pages 215-240, June.
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    Cited by:

    1. Hua He & Neil D. Pearson, 1991. "Consumption and Portfolio Policies With Incomplete Markets and Short‐Sale Constraints: the Finite‐Dimensional Case1," Mathematical Finance, Wiley Blackwell, vol. 1(3), pages 1-10, July.
    2. Detemple, Jérôme, 1993. "Demande de portefeuille et politique de couverture de risque sous information incomplète," L'Actualité Economique, Société Canadienne de Science Economique, vol. 69(1), pages 45-70, mars.

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    HD28 .M414 no.2110-; 89;

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