Stochastic Analysis will be utilized in order to further understand questions such as utility maximization in incomplete markets, equilibrium prices in a consumption based capital asset pricing model, optimal portfolios, consumption optimization, and transaction costs. This project should result in technical formulations leading to a more scientific management of financial decisions.

Agency
National Science Foundation (NSF)
Institute
Division of Mathematical Sciences (DMS)
Application #
9022188
Program Officer
John Lagnese
Project Start
Project End
Budget Start
1991-05-01
Budget End
1995-01-31
Support Year
Fiscal Year
1990
Total Cost
$128,529
Indirect Cost
Name
Columbia University
Department
Type
DUNS #
City
New York
State
NY
Country
United States
Zip Code
10027