16 citations · 16 across the 6 of their papers we have counts for
13 papers
-arbitrage and -consistent pricing for star-shaped risk measures
Martin Herdegen, Nazem Khan
This paper revisits mean-risk portfolio selection in a one-period financial market, where risk is quantified by a star-shaped risk measure . We make three contributions. First,…
Proper solutions for Epstein-Zin Stochastic Differential Utility
Martin Herdegen, David Hobson, Joseph Jerome
In this article, we consider the optimal investment-consumption problem for an agent with preferences governed by Epstein--Zin stochastic differential utility (EZ-SDU) who invests…
Liquidity Provision with Adverse Selection and Inventory Costs
Martin Herdegen, Johannes Muhle-Karbe, Florian Stebegg
We study one-shot Nash competition between an arbitrary number of identical dealers that compete for the order flow of a client. The client trades either because of proprietary inf…
The Infinite Horizon Investment-Consumption Problem for Epstein-Zin Stochastic Differential Utility
David Hobson, Martin Herdegen, Joseph Jerome
In this article we consider the optimal investment-consumption problem for an agent with preferences governed by Epstein-Zin stochastic differential utility who invests in a consta…
Bubbles in discrete time models
Martin Herdegen, Dörte Kreher
We introduce a new definition of speculative bubbles in discrete-time models based on the discounted stock price losing mass at some finite drop-down under an equivalent martingale…
Mean- portfolio selection and -arbitrage for coherent risk measures
Martin Herdegen, Nazem Khan
We revisit mean-risk portfolio selection in a one-period financial market where risk is quantified by a positively homogeneous risk measure . We first show that under mild assum…
An elementary approach to the Merton problem
Martin Herdegen, David Hobson, Joseph Jerome
In this article we consider the infinite-horizon Merton investment-consumption problem in a constant-parameter Black - Scholes - Merton market for an agent with constant relative r…
Equilibrium Asset Pricing with Transaction Costs
Martin Herdegen, Johannes Muhle-Karbe, Dylan Possamaï
We study risk-sharing economies where heterogenous agents trade subject to quadratic transaction costs. The corresponding equilibrium asset prices and trading strategies are charac…
Strict Local Martingales and Optimal Investment in a Black-Scholes Model with a Bubble
Martin Herdegen, Sebastian Herrmann
There are two major streams of literature on the modeling of financial bubbles: the strict local martingale framework and the Johansen-Ledoit-Sornette (JLS) financial bubble model.…
Scaling Limits of Processes with Fast Nonlinear Mean Reversion
Thomas Cayé, Martin Herdegen, Johannes Muhle-Karbe
We derive scaling limits for integral functionals of Itô processes with fast nonlinear mean-reversion speed. We show that in these limits, the fast mean-reverting process is "avera…
Equilibrium Returns with Transaction Costs
Bruno Bouchard, Masaaki Fukasawa, Martin Herdegen +1
We study how trading costs are reflected in equilibrium returns. To this end, we develop a tractable continuous-time risk-sharing model, where heterogeneous mean-variance investors…
Minimal Conditions for Implications of Gronwall-Bellman Type
Martin Herdegen, Sebastian Herrmann
Gronwall-Bellman type inequalities entail the following implication: if a sufficiently integrable function satisfies a certain homogeneous linear integral inequality, then it is no…
Single Jump Processes and Strict Local Martingales
Martin Herdegen, Sebastian Herrmann
Many results in stochastic analysis and mathematical finance involve local martingales. However, specific examples of strict local martingales are rare and analytically often rathe…