OPTIMAL CONTINGENT CLAIMS AND CONSUMPTION

Daheng Peng () and Maoan Han ()
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Daheng Peng: College of Mathematics and Econometrics, Hunan University, Changsha 410079, China
Maoan Han: Department of Mathematics, Shanghai Jiaotong University, Shanghai 200030, China

International Journal of Theoretical and Applied Finance (IJTAF), 2005, vol. 08, issue 04, 463-482

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].

Keywords: Contingent claim; consumption; utility; payoff function; preference structure (search for similar items in EconPapers)
Date: 2005
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DOI: 10.1142/S0219024905003086

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