4 citations · 6 across the 15 of their papers we have counts for
6 papers · 1 filter
Equilibrium investment under dynamic preference uncertainty
Luca De Gennaro Aquino, Sascha Desmettre, Yevhen Havrylenko +1
We study a continuous-time portfolio choice problem for an investor whose state-dependent preferences are determined by an exogenous factor that evolves as an Itô diffusion process…
Equilibrium control theory for Kihlstrom-Mirman preferences in continuous time
Luca De Gennaro Aquino, Sascha Desmettre, Yevhen Havrylenko +1
In intertemporal settings, the multiattribute utility theory of Kihlstrom and Mirman suggests the application of a concave transform of the lifetime utility index. This constructio…
Worst-Case Optimal Investment in Incomplete Markets
Sascha Desmettre, Sebastian Merkel, Annalena Mickel +1
We study and solve the worst-case optimal portfolio problem as pioneered by Korn and Wilmott (2002) of an investor with logarithmic preferences facing the possibility of a market c…
A Comparative Study of Factor Models for Different Periods of the Electricity Spot Price Market
Christian Laudagé, Florian Aichinger, Sascha Desmettre
Due to major shifts in European energy supply, a structural change can be observed in Austrian electricity spot price data starting from the second quarter of the year 2021 onward.…
Change of drift in one-dimensional diffusions
Sascha Desmettre, Gunther Leobacher, L. C. G. Rogers
It is generally understood that a given one-dimensional diffusion may be transformed by Cameron-Martin-Girsanov measure change into another one-dimensional diffusion with the same…
Change of Measure in the Heston Model given a violated Feller Condition
Sascha Desmettre
When dealing with Heston's stochastic volatility model, the change of measure from the subjective measure P to the objective measure Q is usually investigated under the assumption…