Zobrazeno 1 - 10
of 14
pro vyhledávání: '"Oleksii Mostovyi"'
Autor:
Oleksii Mostovyi, Pietro Siorpaes
Publikováno v:
Journal of Mathematical Analysis and Applications. :127438
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::60536a32eade08b20c307c8486c4f9b8
https://doi.org/10.1016/j.jmaa.2023.127438
https://doi.org/10.1016/j.jmaa.2023.127438
Autor:
Oleksii Mostovyi
Publikováno v:
SIAM Journal on Financial Mathematics. 12:641-671
We investigate the dynamic stability of the indirect utility process associated with a (possibly suboptimal) trading strategy under perturbations of the market. Establishing the reverse conjugacy characterizations first, we prove continuity and first
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::63176d2b0a22f3c8948e1cdad71142ed
https://doi.org/10.1137/19m1260359
https://doi.org/10.1137/19m1260359
Publikováno v:
Involve 13, no. 4 (2020), 607-623
First, we consider the problem of hedging in complete binomial models. Using the discrete-time F\"ollmer-Schweizer decomposition, we demonstrate the equivalence of the backward induction and sequential regression approaches. Second, in incomplete tri
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6229e3a376ff9f1d2db10139b8dd6a29
https://doi.org/10.2140/involve.2020.13.607
https://doi.org/10.2140/involve.2020.13.607
Autor:
Oleksii Mostovyi
Publikováno v:
Stochastic Processes and their Applications. 130:4444-4469
In an incomplete model, where under an appropriate num\'eraire, the stock price process is driven by a sigma-bounded semimartingale, we investigate the behavior of the expected utility maximization problem under small perturbations of the num\'eraire
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e1364cde9d8beaafbce559a44306f246
https://doi.org/10.1016/j.spa.2020.01.003
https://doi.org/10.1016/j.spa.2020.01.003
Autor:
Oleksii Mostovyi, Mihai Sîrbu
Publikováno v:
Finance and Stochastics. 23:595-640
We consider the expected utility maximisation problem and its response to small changes in the market price of risk in a continuous semimartingale setting. Assuming that the preferences of a rational economic agent are modelled by a general utility f
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::030525d5864b33e52c2c741397e2111f
https://doi.org/10.1007/s00780-019-00388-1
https://doi.org/10.1007/s00780-019-00388-1
Autor:
Oleksii Mostovyi, Mihai Sîrbu
Publikováno v:
Ann. Appl. Probab. 30, no. 2 (2020), 747-787
We consider the problem of optimal consumption from labor income and investment in a general incomplete semimartingale market. The economic agent cannot borrow against future income, so the total wealth is required to be positive at (all or some) pre
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::53d8be7afca06245826f36a99a68679e
https://doi.org/10.1214/19-aap1514
https://doi.org/10.1214/19-aap1514
Publikováno v:
Finance and Stochastics. 22:297-326
In the framework of an incomplete financial market where the stock price dynamics are modeled by a continuous semimartingale (not necessarily Markovian) an explicit second-order expansion formula for the power investor's value function - seen as a fu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7ff4401c6e7ee1b355b6313f281c26d7
https://doi.org/10.1007/s00780-017-0353-3
https://doi.org/10.1007/s00780-017-0353-3
Publikováno v:
Journal of Applied Probability. 54:710-719
We consider the problem of optimal investment with intermediate consumption in a general semimartingale model of an incomplete market, with preferences being represented by a utility stochastic field. We show that the key conclusions of the utility m
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ac4d1db4720f14d15d0ba8d1d649e106
https://doi.org/10.1017/jpr.2017.29
https://doi.org/10.1017/jpr.2017.29
Autor:
Oleksii Mostovyi
Publikováno v:
Mathematical Finance. 28:106-118
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 occu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::89645bc3dd9ff155b7678ed3db6d28b0
https://doi.org/10.1111/mafi.12123
https://doi.org/10.1111/mafi.12123
Autor:
Oleksii Mostovyi
Publikováno v:
Mathematical Finance. 27:96-114
We consider an optimal investment problem with intermediate consumption and random endowment, in an incomplete semimartingale model of the financial market. We establish the key assertions of the utility maximization theory, assuming that both primal
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::564c1b880d4106476776cce5c624174d
https://doi.org/10.1111/mafi.12089
https://doi.org/10.1111/mafi.12089