4 citations · 4 across the 2 of their papers we have counts for
2 papers
q-fin.PR2019
Generalized Duality for Model-Free Superhedging given Marginals
Arash Fahim, Yu-Jui Huang, Saeed Khalili
In a discrete-time financial market, a generalized duality is established for model-free superhedging, given marginal distributions of the underlying asset. Contrary to prior studi…
math.OC2018★ 4 cited
Optimal Consumption in the Stochastic Ramsey Problem without Boundedness Constraints
Yu-Jui Huang, Saeed Khalili
This paper investigates optimal consumption in the stochastic Ramsey problem with the Cobb-Douglas production function. Contrary to prior studies, we allow for general consumption…