32 citations · 33 across the 11 of their papers we have counts for
4 papers · 1 filter
Arbitrage and utility maximization in market models with an insider
Ngoc Huy Chau, Wolfgang Runggaldier, Peter Tankov
We study arbitrage opportunities, market viability and utility maximization in market models with an insider. Assuming that an economic agent possesses from the beginning an additi…
On fixed gain recursive estimators with discontinuity in the parameters
Huy N. Chau, Chaman Kumar, Miklós Rásonyi +1
In this paper we estimate the tracking error of a fixed gain stochastic approximation scheme. The underlying process is not assumed Markovian, a mixing condition is required instea…
On optimal investment with processes of long or negative memory
Huy N. Chau, Miklos Rasonyi
We consider the problem of utility maximization for investors with power utility functions. Building on the earlier work Larsen et al. (2016), we prove that the value of the proble…
Skorohod's representation theorem and optimal strategies for markets with frictions
Huy N. Chau, Miklós Rásonyi
We prove the existence of optimal strategies for agents with cumulative prospect theory preferences who trade in a continuous-time illiquid market, transcending known results which…