89 citations · 145 across the 17 of their papers we have counts for
Showing q-fin.PMShow all
3 papers · 1 filter
q-fin.PM2017★ 8 cited
Sensitivity analysis of the utility maximization problem with respect to model perturbations
Oleksii Mostovyi, Mihai Sîrbu
We study the sensitivity of the expected utility maximization problem in a continuous semi-martingale market with respect to small changes in the market price of risk. Assuming tha…
q-fin.PM2012
Shadow prices and well-posedness in the problem of optimal investment and consumption with transaction costs
Jin Hyuk Choi, Mihai Sirbu, Gordan Zitkovic
We revisit the optimal investment and consumption model of Davis and Norman (1990) and Shreve and Soner (1994), following a shadow-price approach similar to that of Kallsen and Muh…
q-fin.PM2009
Optimal investment on finite horizon with random discrete order flow in illiquid markets
Paul Gassiat, Huyen Pham, Mihai Sirbu
We study the problem of optimal portfolio selection in an illiquid market with discrete order flow. In this market, bids and offers are not available at any time but trading occurs…