7 citations · 7 across the 1 of their papers we have counts for
2 papers
math.PR2015
A BSDE arising in an exponential utility maximization problem in a pure jump market model
Carla Mereu, Robert Stelzer
We consider the problem of utility maximization with exponential preferences in a market where the traded stock/risky asset price is modelled as a Lévy-driven pure jump process (i.…
q-fin.PM2014★ 7 cited
Optimal investment with time-varying stochastic endowments
Christoph Belak, An Chen, Carla Mereu +1
This paper considers a utility maximization and optimal asset allocation problem in the presence of a stochastic endowment that cannot be fully hedged through trading in the financ…