15 citations · 17 across the 10 of their papers we have counts for
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q-fin.GN2010
Incomplete Continuous-time Securities Markets with Stochastic Income Volatility
Peter Ove Christensen, Kasper Larsen
In an incomplete continuous-time securities market with uncertainty generated by Brownian motions, we derive closed-form solutions for the equilibrium interest rate and market pric…
q-fin.PM2010
Horizon dependence of utility optimizers in incomplete models
Kasper Larsen, Hang Yu
This paper studies the utility maximization problem with changing time horizons in the incomplete Brownian setting. We first show that the primal value function and the optimal ter…