48 citations · 88 across the 27 of their papers we have counts for
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q-fin.CP2020
Bond indifference prices and indifference yield curves
Matthew Lorig
In a market with stochastic interest rates, we consider an investor who can either (i) invest all if his money in a savings account or (ii) purchase zero-coupon bonds and invest th…
q-fin.MF2020
Optimal Trading with Differing Trade Signals
Ryan Donnelly, Matthew Lorig
We consider the problem of maximizing portfolio value when an agent has a subjective view on asset value which differs from the traded market price. The agent's trades will have a…