4 citations · 4 across the 4 of their papers we have counts for
4 papers
An Extension of Clark-Haussman Formula and Applications
Traian A. Pirvu, Ulrich G. Haussmann
This work considers a stochastic model in which the uncertainty is driven by a multidimensional Brownian motion. The market price of risk process makes the transition between real…
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…
Optimal portfolio selection and compression in an incomplete market
Nikolai Dokuchaev, Ulrich Haussmann
We investigate an optimal investment problem with a general performance criterion which, in particular, includes discontinuous functions. Prices are modeled as diffusions and the m…