5 citations · 28 across the 30 of their papers we have counts for
9 papers · 1 filter
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…
The funds market bank problem
Elena Cristina Canepa, Traian A Pirvu
This paper considers the problem faced by a bank which trades in the funds market so as to maintain the reserve requirements and minimize the costs of doing that. We work in a stoc…
Stochastic production planning with regime switching
Elena Cristina Canepa, Dragos-Patru Covei, Traian A. Pirvu
This paper considers a stochastic production planning problem with regime switching. There are two regimes corresponding to different economic cycles. A factory is planning its pro…
Portfolio Optimization under Correlation Constraint
Aditya Maheshwari, Traian Pirvu
We consider the problem of portfolio optimization with a correlation constraint. The framework is the multiperiod stochastic financial market setting with one tradable stock, stoch…
A Stochastic production planning problem
Elena Cristina Canepa, Dragos-Patru Covei, Traian A. Pirvu
Stochastic production planning problems were studied in several works; the model with one production good was discussed in [3]. The extension to several economic goods is not a tri…
A Multi Period Equilibrium Pricing Model
Traian A. Pirvu, Huayue Zhang
In this paper, we propose an equilibrium pricing model in a dynamic multi-period stochastic framework with uncertain income streams. In an incomplete market, there exist two traded…