Browsing by Author "Bank, Peter"

Now showing items 1-8 of 8

2001-11-27Buch

A Stochastic Representation Theorem with Applications to Optimization and Obstacle Problems

Bank, Peter; Karoui, Nicole El

We study a new type of representation problem for optional processes with connections to singular control, optimal stopping and dynamic allocation problems. As an application, we show how to solve a variant of Skorohod's ...
2003-04-22Buch

American Options, Multi–armed Bandits, and Optimal Consumption Plans

Bank, Peter; Föllmer, Hans

In this survey, we show that various stochastic optimization problems arising in option theory, in dynamical allocation problems, and in the microeconomic theory of intertemporal consumption choice can all be reduced to ...
2000-12-13Buch

Existence and Structure of Stochastic Equilibria with Intertemporal Substitution

Bank, Peter; Riedel, Frank
2002-06-07Buch

Hedging and Portfolio Optimization in Illiquid Financial Markets

Bank, Peter; Baum, Dietmar

We introduce a general continuous–time model for an illiquid financial market where the trades of a single large investor can move market prices. The model is specified in terms of parameter dependent semimartingales, and ...
2005-09-14Buch

No Free Lunch for Large Investors

Bank, Peter
2006-03-16Buch

Non-Time Additive Utility Optimization

Riedel, Frank; Bank, Peter

We study the intertemporal utility maximization problem for Hindy-Huang-Kreps utilities. Necessary and sufficient conditions for optimality are given. An explicit solution is provided for a large class of utility functions. ...
2005-09-09Buch

Optimal Consumption Choice under Uncertainty with Intertemporal Substitution

Bank, Peter; Riedel, Frank

We extend the analysis of the intertemporal utility maximization problem for Hindy-Huang-Kreps utilities reported in Bank and Riedel (1998) to the stochastic case. Existence and uniqueness of optimal consumption plans are ...
2000-12-14Dissertation

Singular control of optional random measures

Bank, Peter

In dieser Arbeit untersuchen wir das Problem der Maximierung bestimmter konkaver Funktionale auf dem Raum der optionalen, zufälligen Maße. Deartige Funktionale treten in der mikroökonomischen Literatur auf, wo ihre Maximierung ...