Properties of bid and ask reservation prices in the rank-dependent expected utility model

Article Abstract:

A rank-dependent utility model is used to examined bid and ask spreads from market maker prices.

Market makers (Securities trading)

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An existence theorem of intertemporal recursive utility in the presence of Levy jumps

Article Abstract:

Backward stochastic equations are examined in the context of utility theory and Levy jumps.

Stochastic analysis

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Intertemporal recursive utility and an equilibrium asset pricing model in the presence of Levy jumps

Article Abstract:

An equilibrium asset pricing model is developed in a mixed Poisson-Brownian information framework. Solution for an optimal portfolio choice problem is derived using Euler equation.

United States, Commercial Banks, Investment Banking and Securities Dealing, Portfolio Management, Regulation, Licensing, and Inspection of Miscellaneous Commercial Sectors, Portfolio & Funds Management, Asset Valuation & Distribution, Models, Tests, problems and exercises, Usage, Brownian motion, Lagrange equations, Poisson processes, Asset valuation

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