2 papers
math.OC2015
Portfolio Optimization under Nonlinear Utility
Gregor Heyne, Michael Kupper, Ludovic Tangpi
This paper studies the utility maximization problem of an agent with non-trivial endowment, and whose preferences are modeled by the maximal subsolution of a BSDE. We prove existen…
math.PR2004
Dynamic monetary risk measures for bounded discrete-time processes
Patrick Cheridito, Freddy Delbaen, Michael Kupper
We study time-consistency questions for processes of monetary risk measures that depend on bounded discrete-time processes describing the evolution of financial values. The time ho…