208 citations · 498 across the 31 of their papers we have counts for
Showing 2014Show all
3 papers · 1 filter
q-fin.PM2014
Facelifting in Utility Maximization
Kasper Larsen, H. Mete Soner, Gordan Zitkovic
We establish the existence and characterization of a primal and a dual facelift - discontinuity of the value function at the terminal time - for utility-maximization in incomplete…
q-fin.PR2014★ 7 cited
Martingale optimal transport in the Skorokhod space
Y. Dolinsky, H. M. Soner
The dual representation of the martingale optimal transport problem in the Skorokhod space of multi dimensional cadlag processes is proved. The dual is a minimization problem with…
q-fin.PM2014
Trading with Small Price Impact
Ludovic Moreau, Johannes Muhle-Karbe, H. Mete Soner
An investor trades a safe and several risky assets with linear price impact to maximize expected utility from terminal wealth. In the limit for small impact costs, we explicitly de…