3 papers
q-fin.MF2017
Periodic strategies in optimal execution with multiplicative price impact
Daniel Hernández-Hernández, Harold A. Moreno-Franco, José Luis Pérez
In this work we study the optimal execution problem with multiplicative price impact in algorithm trading, when an agent holds an initial position of shares of a financial asset. T…
q-fin.PM2012
Robust utility maximization for Lévy processes: Penalization and solvability
Daniel Hernández-Hernández, Leonel Pérez-Hernández
In this paper the robust utility maximization problem for a market model based on Lévy processes is analyzed. The interplay between the form of the utility function and the penaliz…
math.PR2012
Characterization of the minimal penalty of a convex risk measure with applications to Levy processes
Daniel Hernández-Hernández, Leonel Pérez-Hernández
The minimality of the penalization function associated with a convex risk measure is analyzed in this paper. First, in a general static framework, we provide necessary and sufficie…