42 citations · 105 across the 19 of their papers we have counts for
Showing 2021Show all
2 papers · 1 filter
math.OC2021
Merton's optimal investment problem with jump signals
Peter Bank, Laura Körber
This paper presents a new framework for Merton's optimal investment problem which uses the theory of Meyer -fields to allow for signals that possibly warn the investor about imp…
q-fin.MF2021
What if we knew what the future brings? Optimal investment for a frontrunner with price impact
Peter Bank, Yan Dolinsky, Miklós Rásonyi
In this paper we study optimal investment when the investor can peek some time units into the future, but cannot fully take advantage of this knowledge because of quadratic transac…