4 citations · 6 across the 10 of their papers we have counts for
10 papers
Partial Equilibria with Convex Capital Requirements: Existence, Uniqueness and Stability
Michail Anthropelos, Gordan Zitkovic
In an incomplete semimartingale model of a financial market, we consider several risk-averse financial agents who negotiate the price of a bundle of contingent claims. Assuming tha…
On Agents' Agreement and Partial-Equilibrium Pricing in Incomplete Markets
Michail Anthropelos, Gordan Zitkovic
We consider two risk-averse financial agents who negotiate the price of an illiquid indivisible contingent claim in an incomplete semimartingale market environment. Under the assum…
Maturity-independent risk measures
Thaleia Zariphopoulou, Gordan Zitkovic
The new notion of maturity-independent risk measures is introduced and contrasted with the existing risk measurement concepts. It is shown, by means of two examples, one set on a f…
Maximizing the Growth Rate under Risk Constraints
Traian A. Pirvu, Gordan Zitkovic
We investigate the ergodic problem of growth-rate maximization under a class of risk constraints in the context of incomplete, Itô-process models of financial markets with random e…
Stability of utility-maximization in incomplete markets
Kasper Larsen, Gordan Zitkovic
The effectiveness of utility-maximization techniques for portfolio management relies on our ability to estimate correctly the parameters of the dynamics of the underlying financial…
On the semimartingale property via bounded logarithmic utility
Kasper Larsen, Gordan Zitkovic
This paper provides a new version of the condition of Di Nunno et al. (2003), Ankirchner and Imkeller (2005) and Biagini and \{O}ksendal (2005) ensuring the semimartingale property…