2 citations · 4 across the 12 of their papers we have counts for
4 papers · 1 filter
Existence and uniqueness of quadratic and linear mean-variance equilibria in general semimartingale markets
Christoph Czichowsky, Martin Herdegen, David Martins
We revisit the classical topic of quadratic and linear mean-variance equilibria with both financial and real assets. The novelty of our results is that they are the first allowing…
Market Making with Exogenous Competition
Robert Boyce, Martin Herdegen, Leandro Sánchez-Betancourt
We study liquidity provision in the presence of exogenous competition. We consider a `reference market maker' who monitors her inventory and the aggregated inventory of the competi…
Risk, utility and sensitivity to large losses
Martin Herdegen, Nazem Khan, Cosimo Munari
Risk and utility functionals are fundamental building blocks in economics and finance. In this paper we investigate under which conditions a risk or utility functional is sensitive…
Portfolio Optimization under Transaction Costs with Recursive Preferences
Martin Herdegen, David Hobson, Alex S. L. Tse
The Merton investment-consumption problem is fundamental, both in the field of finance, and in stochastic control. An important extension of the problem adds transaction costs, whi…