2 citations · 4 across the 8 of their papers we have counts for
8 papers
Robust Utility Maximization with Drift and Volatility Uncertainty
Kerem Ugurlu
We give explicit solutions for utility maximization of terminal wealth problem in the presence of Knightian uncertainty in continuous time in a complete market. We…
Portfolio Optimization with Nondominated Priors and Unbounded Parameters
Kerem Ugurlu
We consider classical Merton problem of terminal wealth maximization in finite horizon. We assume that the drift of the stock is following Ornstein-Uhlenbeck process and the volati…
On the Galerkin approximation and strong norm bounds for the stochastic Navier-Stokes equations with multiplicative noise
Igor Kukavica, Kerem Ugurlu, Mohammed Ziane
We investigate the convergence of the Galerkin approximation for the stochastic Navier-Stokes equations in an open bounded domain with the non-slip boundary condition…
Decomposability and time consistency of risk averse multistage programs
Alexander Shapiro, Kerem Ugurlu
Two approaches to time consistency of risk averse multistage stochastic problems were discussed in the recent literature. In one approach certain properties of the cor-responding r…
Dynamic optimal contract under parameter uncertainty with risk averse agent and principal
Kerem Ugurlu
We consider a continuous time Principal-Agent model on a finite time horizon, where we look for the existence of an optimal contract both parties agreed on. Contrary to the main st…
Robust Optimal Control Using Conditional RiskMappings in Infinite Horizon
Kerem Ugurlu
We use one-step conditional risk mappings to formulate a risk averse version of a total cost problem on a controlled Markov process in discrete time infinite horizon. The nonnegati…
Controlled Markov Chains with AVaR Criteria for Unbounded Costs
Kerem Ugurlu
In this paper, we consider the control problem with the Average-Value-at-Risk (AVaR) criteria of the possibly unbounded -costs in infinite horizon on a Markov Decision Proce…
On the Coherent Risk Measure Representations in the Discrete Probability Spaces
Kerem Ugurlu
We give a complete characterization of both comonotone and not comonotone coherent risk measures in the discrete finite probability space, where each outcome is equally likely. To…