1 citations · 1 across the 2 of their papers we have counts for
Showing 2019Show all
2 papers · 1 filter
q-fin.MF2019
Robust no arbitrage and the solvability of vector-valued utility maximization problems
Andreas H Hamel, Birgit Rudloff, Zhou Zhou
A market model with assets in discrete time is considered where trades are subject to proportional transaction costs given via bid-ask spreads, while the existence of a numèrai…
math.OC2019
Certainty Equivalent and Utility Indifference Pricing for Incomplete Preferences via Convex Vector Optimization
Birgit Rudloff, Firdevs Ulus
For incomplete preference relations that are represented by multiple priors and/or multiple -- possibly multivariate -- utility functions, we define a certainty equivalent as well…