40 citations · 123 across the 17 of their papers we have counts for
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q-fin.PM2022
Cost-efficiency in Incomplete Markets
Carole Bernard, Stephan Sturm
This paper studies the topic of cost-efficiency in incomplete markets. A payoff is called cost-efficient if it achieves a given probability distribution at some given investment ho…
q-fin.PM2011★ 33 cited
Portfolio Optimization under Convex Incentive Schemes
Maxim Bichuch, Stephan Sturm
We consider the terminal wealth utility maximization problem from the point of view of a portfolio manager who is paid by an incentive scheme, which is given as a convex function $…