89 citations · 131 across the 4 of their papers we have counts for
4 papers
Optimal investment on finite horizon with random discrete order flow in illiquid markets
Paul Gassiat, Huyen Pham, Mihai Sirbu
We study the problem of optimal portfolio selection in an illiquid market with discrete order flow. In this market, bids and offers are not available at any time but trading occurs…
In which Financial Markets do Mutual Fund Theorems hold true?
Walter Schachermayer, Mihai Sirbu, Erik Taflin
The Mutual Fund Theorem (MFT) is considered in a general semimartingale financial market S with a finite time horizon T, where agents maximize expected utility of terminal wealth.…
Sensitivity analysis of utility-based prices and risk-tolerance wealth processes
Dmitry Kramkov, Mihai S\^{ı}rbu
In the general framework of a semimartingale financial model and a utility function defined on the positive real line, we compute the first-order expansion of marginal utility-…
On the two-times differentiability of the value functions in the problem of optimal investment in incomplete markets
Dmitry Kramkov, Mihai S\^{ı}rbu
We study the two-times differentiability of the value functions of the primal and dual optimization problems that appear in the setting of expected utility maximization in incomple…