142 citations · 240 across the 21 of their papers we have counts for
Showing 2013Show all
3 papers · 1 filter
q-fin.PM2013
Continuous-Time Portfolio Optimisation for a Behavioural Investor with Bounded Utility on Gains
Miklós Rásonyi, Andrea Meireles Rodrigues
This paper examines an optimal investment problem in a continuous-time (essentially) complete financial market with a finite horizon. We deal with an investor who behaves consisten…
q-fin.PM2013★ 2 cited
Maximization of Non-Concave Utility Functions in Discrete-Time Financial Market Models
Laurence Carassus, Miklos Rasonyi
This paper investigates the problem of maximizing expected terminal utility in a (generically incomplete) discrete-time financial market model with finite time horizon. In contrast…
q-fin.PM2013
Diversity and no arbitrage
Attila Herczegh, Vilmos Prokaj, Miklós Rásonyi
A stock market is called diverse if no stock can dominate the market in terms of relative capitalization. On one hand, this natural property leads to arbitrage in diffusion models…