5 citations · 28 across the 30 of their papers we have counts for
4 papers · 1 filter
Investment and Consumption without Commitment
Ivar Ekeland, Traian A. Pirvu
In this paper, we investigate the Merton portfolio management problem in the context of non-exponential discounting. This gives rise to time-inconsistency of the decision-maker. If…
Maximizing the Growth Rate under Risk Constraints
Traian A. Pirvu, Gordan Zitkovic
We investigate the ergodic problem of growth-rate maximization under a class of risk constraints in the context of incomplete, Itô-process models of financial markets with random e…
On Robust Utility Maximization
Traian A Pirvu, Ulrich G Haussmann
This paper studies the problem of optimal investment in incomplete markets, robust with respect to stopping times. We work on a Brownian motion framework and the stopping times are…
A Portfolio Decomposition Formula
Traian A Pirvu, Ulrich G Haussmann
This paper derives a portfolio decomposition formula when the agent maximizes utility of her wealth at some finite planning horizon. The financial market is complete and consists o…