2 papers
q-fin.PM2010
Optimal investment with bounded VaR for power utility functions
Bénamar Chouaf, Serguei Pergamenchtchikov
We consider the optimal investment problem for Black-Scholes type financial market with bounded VaR measure on the whole investment interval . The explicit form for the opti…
math.ST2010
Adaptive asymptotically efficient estimation in heteroscedastic nonparametric regression
Leonid Galtchouk, Serguei Pergamenchtchikov
The paper deals with asymptotic properties of the adaptive procedure proposed in the author paper, 2007, for estimating an unknown nonparametric regression. %\cite{GaPe1}. We prove…