17 citations · 94 across the 49 of their papers we have counts for
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q-fin.PM2018★ 3 cited
Expected Utility Maximization and Conditional Value-at-Risk Deviation-based Sharpe Ratio in Dynamic Stochastic Portfolio Optimization
Sona Kilianova, Daniel Sevcovic
In this paper we investigate the expected terminal utility maximization approach for a dynamic stochastic portfolio optimization problem. We solve it numerically by solving an evol…
math.OC2018★ 2 cited
On Construction of Upper and Lower Bounds for the HOMO-LUMO Spectral Gap
Sona Pavlikova, Daniel Sevcovic
In this paper we study spectral properties of graphs which are constructed from two given invertible graphs by bridging them over a bipartite graph. We analyze the so-called HOMO-L…