32 citations · 44 across the 14 of their papers we have counts for
6 papers · 1 filter
Sensitivity analysis of the utility maximization problem with respect to model perturbations
Oleksii Mostovyi, Mihai Sîrbu
We study the sensitivity of the expected utility maximization problem in a continuous semi-martingale market with respect to small changes in the market price of risk. Assuming tha…
Optimal investment with intermediate consumption under no unbounded profit with bounded risk
Huy N. Chau, Andrea Cosso, Claudio Fontana +1
We consider the problem of optimal investment with intermediate consumption in a general semimartingale model of an incomplete market, with preferences being represented by a utili…
An expansion in the model space in the context of utility maximization
Kasper Larsen, Oleksii Mostovyi, Gordan Žitković
In the framework of an incomplete financial market where the stock price dynamics are modeled by a continuous semimartingale (not necessarily Markovian) an explicit second-order ex…
Utility maximization in the large markets
Oleksii Mostovyi
In the large financial market, which is described by a model with countably many traded assets, we formulate the problem of the expected utility maximization. Assuming that the pre…
Optimal investment with intermediate consumption and random endowment
Oleksii Mostovyi
We consider a problem of optimal investment with intermediate consumption and random endowment in an incomplete semimartingale model of a financial market. We establish the key ass…
Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption
Oleksii Mostovyi
We consider a problem of optimal investment with intermediate consumption in the framework of an incomplete semimartingale model of a financial market. We show that a necessary and…