40 citations · 91 across the 18 of their papers we have counts for
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q-fin.PM2014
Optimal Investment with Transaction Costs and Stochastic Volatility
Maxim Bichuch, Ronnie Sircar
Two major financial market complexities are transaction costs and uncertain volatility, and we analyze their joint impact on the problem of portfolio optimization. When volatility…
q-fin.PM2011
Asymptotic Analysis for Optimal Investment in Finite Time with Transaction Costs
Maxim Bichuch
We consider an agent who invests in a stock and a money market account with the goal of maximizing the utility of his investment at the final time T in the presence of a proportion…
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 $…