77 citations · 109 across the 22 of their papers we have counts for
4 papers · 1 filter
Robust Multiple Stopping -- A Pathwise Duality Approach
Roger J. A. Laeven, John G. M. Schoenmakers, Nikolaus F. F. Schweizer +1
We develop a method to solve, theoretically and numerically, general optimal stopping problems. Our general setting allows for multiple exercise rights, i.e., optimal multiple stop…
Non-concave expected utility optimization with uncertain time horizon
Christian Dehm, Thai Nguyen, Mitja Stadje
We consider an expected utility maximization problem where the utility function is not necessarily concave and the time horizon is uncertain. We establish a necessary and sufficien…
Utility maximization under endogenous pricing
Thai Nguyen, Mitja Stadje
We study the expected utility maximization problem of a large investor who is allowed to make transactions on tradable assets in an incomplete financial market with endogenous perm…
On the equivalence between Value-at-Risk- and Expected Shortfall-based risk measures in non-concave optimization
An Chen, Mitja Stadje, Fangyuan Zhang
We study a non-concave optimization problem in which a financial company maximizes the expected utility of the surplus under a risk-based regulatory constraint. For this problem, w…