89 citations · 131 across the 4 of their papers we have counts for
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q-fin.TR2007
In which Financial Markets do Mutual Fund Theorems hold true?
Walter Schachermayer, Mihai Sirbu, Erik Taflin
The Mutual Fund Theorem (MFT) is considered in a general semimartingale financial market S with a finite time horizon T, where agents maximize expected utility of terminal wealth.…
math.PR2007★ 89 cited
Sensitivity analysis of utility-based prices and risk-tolerance wealth processes
Dmitry Kramkov, Mihai S\^{ı}rbu
In the general framework of a semimartingale financial model and a utility function defined on the positive real line, we compute the first-order expansion of marginal utility-…