32 citations · 44 across the 14 of their papers we have counts for
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q-fin.PM2014
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…
q-fin.PM2014★ 1 cited
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…