4 citations · 4 across the 4 of their papers we have counts for
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math.PR2007★ 4 cited
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…
math.PR2007
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…