25 citations · 48 across the 13 of their papers we have counts for
3 papers · 1 filter
What if we knew what the future brings? Optimal investment for a frontrunner with price impact
Peter Bank, Yan Dolinsky, Miklós Rásonyi
In this paper we study optimal investment when the investor can peek some time units into the future, but cannot fully take advantage of this knowledge because of quadratic transac…
On Utility Maximisation Under Model Uncertainty in Discrete-Time Markets
Miklós Rásonyi, Andrea Meireles-Rodrigues
We study the problem of maximising terminal utility for an agent facing model uncertainty, in a frictionless discrete-time market with one safe asset and finitely many risky assets…
Non-concave optimal investment and no-arbitrage: a measure theoretical approach
Romain Blanchard, Laurence Carassus, Miklós Rásonyi
We consider non-concave and non-smooth random utility functions with do- main of definition equal to the non-negative half-line. We use a dynamic pro- gramming framework together w…