D. Pinheiro
On the dynamics of bargaining.
Tue, 05/10/2011 - 15:01 — SomNambulAuthors: D. Pinheiro, A. A. Pinto, S. Z. Xanthopoulos, A. N. Yannacopoulos
Subjects: Trading and Market Microstructure
AbstractWe study a bargaining scheme under which two agents update their beliefs
about the future states of the world in order to reach an agreement on the
price of a given contingent claim. We first formulate the problem as an
optimization problem and prove the existence of a solution for such problem
yielding a unique price for the contingent claim to be traded.Optimal Life Insurance Purchase, Consumption and Investment on a financial market with multi-dimensional diffusive terms.
Mon, 02/14/2011 - 16:01 — SomNambulAuthors: I. Duarte, D. Pinheiro, A.A. Pinto, S.R. Pliska
Subjects: Portfolio Management
AbstractWe introduce an extension to Merton's famous continuous time model of optimal
consumption and investment, in the spirit of previous works by Pliska and Ye,
to allow for a wage earner to have a random lifetime and to use a portion of
the income to purchase life insurance in order to provide for his estate, while
investing his savings in a financial market comprised of one risk-free security
and an arbitrary number of risky securities driven by multi-dimensional
Brownian motion.
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