16 citations · 16 across the 6 of their papers we have counts for
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q-fin.MF2020
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…
q-fin.MF2020
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…