15 citations · 15 across the 5 of their papers we have counts for
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q-fin.PM2020
Portfolio optimization with two quasiconvex risk measures
Çağın Ararat
We study a static portfolio optimization problem with two risk measures: a principle risk measure in the objective function and a secondary risk measure whose value is controlled i…
math.PR2020
Set-Valued Backward Stochastic Differential Equations
Çağın Ararat, Jin Ma, Wenqian Wu
In this paper, we establish an analytic framework for studying set-valued backward stochastic differential equations (set-valued BSDE), motivated largely by the current studies of…