We analyze a family of portfolio management problems under relative performance criteria,
for fund managers having CARA or CRRA utilities and trading in a common investment …

An investor trades a safe and several risky assets with linear price impact to maximize
expected utility from terminal wealth. In the limit for small impact costs, we explicitly …

We study the evolution of the Arrow–Pratt measure of risk-tolerance in the framework of
discrete-time predictable forward utility processes in a complete semimartingale financial …

We study dynamic optimal portfolio allocation for monotone mean–variance preferences in a
general semimartingale model. Armed with new results in this area, we revisit the work of …

For utility maximization problems under proportional transaction costs, it has been observed
that the original market with transaction costs can sometimes be replaced by a frictionless …

The comparative statics of the optimal portfolios across individuals is carried out for the
Black–Scholes market model. It turns out that the indirect utility functions inherit the order of …

In this paper, we report further progress toward a complete theory of state‐independent
expected utility maximization with semimartingale price processes for arbitrary utility …

We report a surprising link between optimal portfolios generated by a special type of
variational preferences called divergence preferences (see Maccheroni et al., 2006) and …

We consider a continuous-time market with proportional transaction costs. Under
appropriate assumptions, we prove the existence of optimal strategies for investors who …

This paper develops duality theory for optimal investment and contingent claim valuation in
markets where traded assets may be subject to nonlinear trading costs and portfolio …