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Optimal Contingent Claims And Consumption

Author

Listed:
  • DAHENG PENG

    (College of Mathematics and Econometrics, Hunan University, Changsha 410079, China)

  • MAOAN HAN

    (Department of Mathematics, Shanghai Jiaotong University, Shanghai 200030, China)

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].

Suggested Citation

  • Daheng Peng & Maoan Han, 2005. "Optimal Contingent Claims And Consumption," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(04), pages 463-482.
    • Handle: RePEc:wsi:ijtafx:v:08:y:2005:i:04:n:s0219024905003086
    DOI: 10.1142/S0219024905003086
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