The paper derives fundamental arbitrage pricing results in finite dimensions in a simple unified framework using Tucker's theorem of the alternative. Frictionless results plus those with dividends, periodic interest payments, ...

We discuss a new approach to asset allocation with transaction costs. A multi-period stochastic linear programming model is developed where the risk is based on the worst case payoff which is endogenously determined by the ...

Electricity producers participating in the Nordic wholesale-level market face significant uncertainty in inflow to reservoirs and prices in the spot and contract markets. Taking the view of a single risk-averse producer, ...

This paper presents an intertemporal portfolio selection model for pension funds that maximize the intertemporal expected utility of the surplus of assets net of liabilities. Following Merton (1973) it is assumed that both ...

Nonzero transaction costs invalidate the Black-Scholes (1973) arbitrage argument based on continuous trading. Leland (1985) developed a hedging strategy which modifies the Black-Scholes hedging strategy with a volatility ...

This paper reviews the application of OR to financial markets. After considering reasons for the attractiveness of general finance problems to OR researchers, the main types of financial market problem amendable to OR are ...

This paper considers the problem of continuous investment of capital in risky assets over time. Using a Bayesian framework, a model for asset prices is developed where the current price dynamics depend on the history of ...