23 citations · 81 across the 12 of their papers we have counts for
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math.OC2017★ 13 cited
Convex duality and Orlicz spaces in expected utility maximization
Sara Biagini, Aleš Černý
In this paper we report further progress towards a complete theory of state-independent expected utility maximization with semimartingale price processes for arbitrary utility func…
q-fin.PM2017★ 7 cited
Optimal Trade Execution Under Endogenous Pressure to Liquidate: Theory and Numerical Solutions
Pavol Brunovský, Aleš Černý, Ján Komadel
We study optimal liquidation of a trading position (so-called block order or meta-order) in a market with a linear temporary price impact (Kyle, 1985). We endogenize the pressure t…