[in Journal: International Journal of Theoretical and Applied Finance] AND [Keyword: Consumption] : Search

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articleNo Access
OPTIMAL CONTINGENT CLAIMS AND CONSUMPTION
- DAHENG PENG and
- MAOAN HAN
International Journal of Theoretical and Applied Finance01 Jun 2005
Preview Abstract
In complete financial markets, given a particular market variable, which could be finite dimensional (e.g., a price vector of a collection of stocks) or infinite dimensional (e.g., a price trajectory of some security over some period of time), the unique optimal strategy of consumption and investment in European claims contingent on that variable is obtained from two kinds of preference structure. Several examples are given to illustrate the optimality of the strategy. Results obtained in this paper are an extension of Jankunas [4].

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