52 citations · 53 across the 4 of their papers we have counts for
4 papers
The geometry of financial institutions -- Wasserstein clustering of financial data
Lorenz Riess, Mathias Beiglböck, Johannes Temme +2
The increasing availability of granular and big data on various objects of interest has made it necessary to develop methods for condensing this information into a representative a…
A trajectorial interpretation of Doob's martingale inequalities
B. Acciaio, M. Beiglböck, F. Penkner +2
We present a unified approach to Doob's maximal inequalities for . The novelty of our method is that these martingale inequalities are obtained as consequence…
Utility Maximization, Risk Aversion, and Stochastic Dominance
Mathias Beiglboeck, Johannes Muhle-Karbe, Johannes Temme
Consider an investor trading dynamically to maximize expected utility from terminal wealth. Our aim is to study the dependence between her risk aversion and the distribution of the…
Power Utility Maximization in Discrete-Time and Continuous-Time Exponential Levy Models
Johannes Temme
Consider power utility maximization of terminal wealth in a 1-dimensional continuous-time exponential Levy model with finite time horizon. We discretize the model by restricting po…