135 citations · 234 across the 30 of their papers we have counts for
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q-fin.MF2016
Robust Utility Maximization in Discrete-Time Markets with Friction
Ariel Neufeld, Mario Sikic
We study a robust stochastic optimization problem in the quasi-sure setting in discrete-time. We show that under a lineality-type condition the problem admits a maximizer. This con…
math.PR2016
Compactness Criterion for Semimartingale Laws and Semimartingale Optimal Transport
Chong Liu, Ariel Neufeld
We provide a compactness criterion for the set of laws on the Skorokhod space for which the canonical process is a semimartingale having absolutely…