34 citations · 79 across the 11 of their papers we have counts for
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q-fin.CP2009★ 23 cited
Admissible Strategies in Semimartingale Portfolio Selection
Sara Biagini, Aleš Černý
The choice of admissible trading strategies in mathematical modelling of financial markets is a delicate issue, going back to Harrison and Kreps (1979). In the context of optimal p…
q-fin.PR2009★ 1 cited
Indifference price with general semimartingales
Sara Biagini, Marco Frittelli, Matheus R. Grasselli
For utility functions finite valued on , we prove a duality formula for utility maximization with random endowment in general semimartingale incomplete markets. The…