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pro vyhledávání: '"Ferhoune, Massinissa"'
We study a robust utility maximization problem in a general discrete-time frictionless market. The investor is assumed to have a random, nonconcave and nondecreasing utility function, which may or may not be finite on the whole real-line. She also fa
Externí odkaz:
http://arxiv.org/abs/2403.11824
We study a robust utility maximization problem in a general discrete-time frictionless market under quasi-sure no-arbitrage. The investor is assumed to have a random and concave utility function defined on the whole real-line. She also faces model am
Externí odkaz:
http://arxiv.org/abs/2307.11919
In a context of illiquidity, the reservation price is a well-accepted alternative to the usual martingale approach which does not apply. However, this price is not available in closed form and requires numerical methods such as Monte Carlo or polynom
Externí odkaz:
http://arxiv.org/abs/2105.08804
Akademický článek
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