1 citations · 1 across the 2 of their papers we have counts for
2 papers
q-fin.PM2026
Outperforming a Benchmark with -Bregman Wasserstein divergence
Silvana M. Pesenti, Thai Nguyen
We consider the problem of active portfolio management, where an investor seeks the portfolio with maximal expected utility of the difference between the terminal wealth of their s…
q-fin.MF2026★ 1 cited
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…