26 citations · 71 across the 45 of their papers we have counts for
24 papers · 1 filter
Long-Horizon Investment with Delayed Information in a Mean-Reverting Market
Yan Dolinsky
We study long-term investment in an Ornstein-Uhlenbeck diffusion model with exponential utility. We solve the finite-horizon problem explicitly and show that information delay qual…
High-Frequency Exponential-Utility Maximization under Fractional Brownian Motion
Yan Dolinsky
We study utility maximization for high-frequency trading in fractional Brownian motion models. We first consider exponential utility in the discretized arithmetic model. Using spec…
Scaling Limits for Exponential Hedging in Trinomial Models
Yan Dolinsky, Xin Zhang
We study scaled trinomial models converging to the Black--Scholes model, and analyze exponential certainty-equivalent prices for path-dependent European options. As the number of t…
Some Computations for Optimal Execution with Monotone Strategies
Yan Dolinsky
We study an optimal execution problem in the infinite horizon setup. Our financial market is given by the Black-Scholes model with a linear price impact. The main novelty of the cu…
Explicit Computations for Delayed Semistatic Hedging
Yan Dolinsky, Or Zuk
In this work we consider the exponential utility maximization problem in the framework of semistatic hedging.
Exponential Utility Maximization in a Discrete Time Gaussian Framework
Yan Dolinsky, Or Zuk
The aim of this short note is to present a solution to the discrete time exponential utility maximization problem in a case where the underlying asset has a multivariate normal dis…