3 citations · 6 across the 3 of their papers we have counts for
3 papers
q-fin.MF2018★ 3 cited
Robust utility maximization in markets with transaction costs
Huy N. Chau, Miklos Rasonyi
We consider a continuous-time market with proportional transaction costs. Under appropriate assumptions we prove the existence of optimal strategies for investors who maximize thei…
q-fin.MF2015
Non-concave utility maximisation on the positive real axis in discrete time
Laurence Carassus, Miklós Rásonyi, Andrea M. Rodrigues
We treat a discrete-time asset allocation problem in an arbitrage-free, generically incomplete financial market, where the investor has a possibly non-concave utility function and…
q-fin.PM2011★ 3 cited
On optimal investment for a behavioural investor in multiperiod incomplete market models
Laurence Carassus, Miklos Rasonyi
We provide easily verifiable conditions for the well-posedness of the optimal investment problem for a behavioral investor in an incomplete discrete-time multiperiod financial mark…