5 citations · 28 across the 30 of their papers we have counts for
33 papers
Optimal Investment with Switching Preferences
Yu-Jui Huang, Liviu Ignat, Traian A. Pirvu +1
Major life events can significantly increase individuals' risk aversion over a sustained period of time, as empirical studies reveal. How such an event-triggered shift of risk pref…
Sharpe Ratio and Return-VaR Ratio Maximization for Option Portfolios with Skew-Elliptical Underlying Returns
Kyle Sung, Traian A. Pirvu
We provide a formulation for optimal option portfolios under Sharpe Ratio maximization when the underlying returns follow a skew-elliptical t-distribution. This departs from the tr…
Optimal Option Portfolios for Skew-Elliptical t Returns
Kyle Sung, Traian A. Pirvu
This paper explores option portfolio optimization when the underlying returns are skew-elliptical t-distributed. We use the variance and value at risk (VaR) to measure portfolio ri…
Portfolio Time Consistency and Utility Weighted Discount Rates
Oumar Mbodji, Traian A. Pirvu
Merton portfolio management problem is studied in this paper within a stochastic volatility, non constant time discount rate, and power utility framework. This problem is time inco…
A nonlinear population model
Dragos-Patru Covei, Traian A. Pirvu, Catalin Sterbeti
This paper considers a nonlinear model for population dynamics with age structure. The fertility rate with respect to age is non constant and has the form proposed by [17]. Moreove…
Optimal annuitization post-retirement with labor income
Xiang Gao, Cody Hyndman, Traian A. Pirvu +1
Evidence shows that the labor participation rate of retirement age cohorts is non-negligible, and it is a widespread phenomenon globally. In the United States, the labor force part…