5 citations · 28 across the 30 of their papers we have counts for
14 papers · 1 filter
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…
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…
Multi-period investment strategies under Cumulative Prospect Theory
Liurui Deng, Traian A. Pirvu
In this article, inspired by Shi, et al. we investigate the optimal portfolio selection with one risk-free asset and one risky asset in a multiple period setting under cumulative p…
Risk management under Omega measure
Michael R. Metel, Traian A. Pirvu, Julian Wong
We prove that the Omega measure, which considers all moments when assessing portfolio performance, is equivalent to the widely used Sharpe ratio under jointly elliptic distribution…