142 citations · 240 across the 21 of their papers we have counts for
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q-fin.PM2014★ 1 cited
Optimal investment with bounded above utilities in discrete time markets
Miklos Rasonyi
We consider an arbitrage-free, discrete time and frictionless market. We prove that an investor maximising the expected utility of her terminal wealth can always find an optimal in…
math.OC2014
Asymptotic Exponential Arbitrage and Utility-based Asymptotic Arbitrage in Markovian Models of Financial Markets
Martin Le Doux Mbele Bidima, Miklós Rásonyi
Consider a discrete-time infinite horizon financial market model in which the logarithm of the stock price is a time discretization of a stochastic differential equation. Under con…