135 citations · 234 across the 30 of their papers we have counts for
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q-fin.MF2015
Super-replication in Fully Incomplete Markets
Yan Dolinsky, Ariel Neufeld
In this work we introduce the notion of fully incomplete markets. We prove that for these markets the super-replication price coincide with the model free super-replication price.…
q-fin.MF2015
Robust Utility Maximization with Lévy Processes
Ariel Neufeld, Marcel Nutz
We study a robust portfolio optimization problem under model uncertainty for an investor with logarithmic or power utility. The uncertainty is specified by a set of possible Lévy t…