2 citations · 4 across the 12 of their papers we have counts for
3 papers · 1 filter
Optimal Investment and Consumption in a Stochastic Factor Model
Florian Gutekunst, Martin Herdegen, David Hobson
In this article, we study optimal investment and consumption in an incomplete stochastic factor model for a power utility investor on the infinite horizon. When the state space of…
The Interplay between Utility and Risk in Portfolio Selection
Leonardo Baggiani, Martin Herdegen, Nazem Khan
We revisit the problem of portfolio selection, where an investor maximizes utility subject to a risk constraint. Our framework is very general and accommodates a wide range of util…
Optimal Dynamic Fees in Automated Market Makers
Leonardo Baggiani, Martin Herdegen, Leandro Sánchez-Betancourt
Automated Market Makers (AMMs) are emerging as a popular decentralised trading platform. In this work, we determine the optimal dynamic fees in a constant function market maker. We…