1 citations · 1 across the 3 of their papers we have counts for
4 papers
Robust utility maximization for diffusion market model with misspecified coefficients
R. Tevzadze, T. Toronjadze
The paper studies the robust maximization of utility of terminal wealth in the diffusion financial market model. The underlying model consists with risky tradable asset, whose pric…
-approximating pricing under restricted information
M. Mania, R. Tevzadze, T. Toronjadze
We consider the mean-variance hedging problem under partial information in the case where the flow of observable events does not contain the full information on the underlying asse…
Semimartingale Stochastic Approximation Procedures and Recursive Estimation
N. Lazrieva, T. Sharia, T. Toronjadze
The semimartingale stochastic approximation procedure, namely, the Robbins-Monro type SDE is introduced which naturally includes both generalized stochastic approximation algorithm…
Mean-variance Hedging Under Partial Information
M. Mania, R. Tevzadze, T. Toronjadze
We consider the mean-variance hedging problem under partial Information. The underlying asset price process follows a continuous semimartingale and strategies have to be constructe…