4 papers
On the existence of personal equilibria
Laurence Carassus, Miklós Rásonyi
We consider an investor who, while maximizing his/her expected utility, also compares the outcome to a reference entity. We recall the notion of personal equilibrium and show that,…
Projective functions
Laurence Carassus, Massinissa Ferhoune
We study projective functions. We prove that projective functions generalise lower and upper-semianalytic ones while being stable by composition and difference. We show that the cl…
Nonconcave Robust Utility Maximization under Projective Determinacy
Laurence Carassus, Massinissa Ferhoune
We study a general robust utility maximization problem in a discrete-time frictionless market. The investor is assumed to have a possibly infinite, random, nonconcave, and nondecre…
Robust No-Arbitrage under Projective Determinacy
Alexandre Boistard, Laurence Carassus, Safae Issaoui
Drawing on set theory, this paper contributes to a deeper understanding of the structural condition of mathematical finance under Knightian uncertainty. We adopt a projective frame…