40 citations · 91 across the 18 of their papers we have counts for
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q-fin.PR2011
Pricing a Contingent Claim Liability with Transaction Costs Using Asymptotic Analysis for Optimal Investment
Maxim Bichuch
We price a contingent claim liability using the utility indifference argument. We consider an agent with exponential utility, who invests in a stock and a money market account with…
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 $…