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math.PR2009
Risk-averse asymptotics for reservation prices
Laurence Carassus, Miklos Rasonyi
An investor's risk aversion is assumed to tend to infinity. In a fairly general setting, we present conditions ensuring that the respective utility indifference prices of a given c…
math.PR2005
On utility maximization in discrete-time financial market models
Miklos Rasonyi, Lukasz Stettner
We consider a discrete-time financial market model with finite time horizon and give conditions which guarantee the existence of an optimal strategy for the problem of maximizing e…