A UNIVERSAL OPTIMAL CONSUMPTION RATE FOR AN INSIDER

We consider a cash flow   X ^{( c )} ( t )  modeled by the stochastic equation where B (·) and     are a Brownian motion and a Poissonian random measure, respectively, and   c ( t ) ≥ 0  is the consumption/dividend rate. No assumptions are made on adaptedness of the coefficients  μ, σ, θ  , and c , and the (possibly anticipating) integrals are interpreted in the forward integral sense. We solve the problem to find the consumption rate c (·), which maximizes the expected discounted utility given by Here  δ( t ) ≥ 0  is a given measurable stochastic process representing a discounting exponent and τ is a random time with values in (0, ∞), representing a terminal/default time, while  γ≥ 0  is a known constant.     

UTILITY MAXIMIZATION IN A LARGE MARKET

We study the problem of expected utility maximization in a large market, i.e., a market with countably many traded assets. Assuming that agents have von Neumann–Morgenstern preferences with stochastic utility function and that consumption occurs according to a stochastic clock, we obtain the “usual” conclusions of the utility maximization theory. We also give a characterization of the value function in a large market in terms of a sequence of value functions in finite‐dimensional models.     

An Anticipating Calculus Approach to the Utility Maximization of an Insider

In this paper we consider a financial market with an insider that has, at time   t = 0  , some additional information of the whole developing of the market. We use the forward integral, which is an anticipating integral, and the techniques of the Malliavin calculus so that we can take advantage of the privileged information to maximize the expected logarithmic utility from terminal wealth.     

PRICING IN AN INCOMPLETE MARKET WITH AN AFFINE TERM STRUCTURE

We apply the principle of equivalent utility to calculate the indifference price of the writer of a contingent claim in an incomplete market. To recognize the long-term nature of many such claims, we allow the short rate to be random in such a way that the term structure is affine. We also consider a general diffusion process for the risky stock (index) in our market. In a complete market setting, the resulting indifference price is the same as the one obtained by no-arbitrage arguments. We also show how to compute indifference prices for two types of contingent claims in an incomplete market, in the case for which the utility function is exponential. The first is a catastrophe risk bond that pays a fixed amount at a given time if a catastrophe does not occur before that time. The second is equity-indexed term life insurance which pays a death benefit that is a function of the short rate and stock price at the random time of the death of the insured. Because we assume that the occurrence of the catastrophe or the death of the insured is independent of the financial market, the markets for the catastrophe risk bond and the equity-indexed life insurance are incomplete.     

买方市场条件下就业结构转换停滞的原因探析

我国 1997年基本进入买方市场后 ,就业结构转换明显处于停滞。在对出现这种现象的一般原因进行探讨之后 ,从宏观经济政策层面和企业层面对就业结构转换停滞的深层原因进行了分析。为了消除不利影响 ,必须从调整宏观经济政策作用方向入手 ,使就业结构转换尽快走出停滞状态