40 citations · 123 across the 17 of their papers we have counts for
Showing 2011Show all
2 papers · 1 filter
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 $…
q-fin.RM2011★ 13 cited
From Smile Asymptotics to Market Risk Measures
Ronnie Sircar, Stephan Sturm
The left tail of the implied volatility skew, coming from quotes on out-of-the-money put options, can be thought to reflect the market's assessment of the risk of a huge drop in st…