5 citations · 17 across the 5 of their papers we have counts for
5 papers
On a Non-Standard Stochastic Control Problem
Ivar Ekeland, Traian A Pirvu
This paper considers the Merton portfolio management problem. We are concerned with non-exponential discounting of time and this leads to time inconsistencies of the decision maker…
Investment and Consumption without Commitment
Ivar Ekeland, Traian A. Pirvu
In this paper, we investigate the Merton portfolio management problem in the context of non-exponential discounting. This gives rise to time-inconsistency of the decision-maker. If…
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…
On Robust Utility Maximization
Traian A Pirvu, Ulrich G Haussmann
This paper studies the problem of optimal investment in incomplete markets, robust with respect to stopping times. We work on a Brownian motion framework and the stopping times are…
A Portfolio Decomposition Formula
Traian A Pirvu, Ulrich G Haussmann
This paper derives a portfolio decomposition formula when the agent maximizes utility of her wealth at some finite planning horizon. The financial market is complete and consists o…