13 citations · 45 across the 19 of their papers we have counts for
4 papers · 1 filter
Log-optimal portfolio and numéraire portfolio for market models stopped at a random time
Tahir Choulli, Sina Yansori
This paper focuses on numéraire portfolio and log-optimal portfolio (portfolio with finite expected utility that maximizes the expected logarithm utility from terminal wealth), whe…
Log-optimal portfolio without NFLVR: existence, complete characterization, and duality
Tahir Choulli, Sina Yansori
This paper addresses the log-optimal portfolio for a general semimartingale model. The most advanced literature on the topic elaborates existence and characterization of this portf…
Mortality/longevity Risk-Minimization with or without securitization
Tahir Choulli, Catherine Daveloose, Michèle Vanmaele
This paper addresses the risk-minimization problem, with and without mortality securitization, à la Föllmer-Sondermann for a large class of equity-linked mortality contracts when n…
Explicit description of all deflators for market models under random horizon with applications to NFLVR
Tahir Choulli, Sina Yansori
This paper considers an initial market model, specified by its underlying assets and its flow of information , and an arbitrary random time which might not be an…