4 papers
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…
Discrete time optimal investment under model uncertainty
Laurence Carassus, Massinissa Ferhoune
We study a robust utility maximization problem in a general discrete-time frictionless market under quasi-sure no-arbitrage. The investor is assumed to have a random and concave ut…
Efficient approximations for utility-based pricing
Laurence Carassus, Massinissa Ferhoune
In a context of illiquidity, the reservation price is a well-accepted alternative to the usual martingale approach which does not apply. However, this price is not available in clo…