3 papers
math.LO2025
Projective functions
Laurence Carassus, Massinissa Ferhoune
We study projective functions. We prove that projective functions generalise lower and upper-semianalytic ones while being stable by composition and difference. We show that the cl…
q-fin.MF2024
Nonconcave Robust Utility Maximization under Projective Determinacy
Laurence Carassus, Massinissa Ferhoune
We study a general robust utility maximization problem in a discrete-time frictionless market. The investor is assumed to have a possibly infinite, random, nonconcave, and nondecre…
q-fin.MF2023
Discrete time optimal investment under model uncertainty
Laurence Carassus, Massinissa Ferhoune
We study a robust utility maximization problem in a general discrete-time frictionless market under quasi-sure no-arbitrage. The investor is assumed to have a random and concave ut…