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A note on the existence of the power investor's optimizer
Larsen, Kasper - In: Finance and stochastics 15 (2011) 1, pp. 183-190
Persistent link: https://www.econbiz.de/10008824128
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Satisfying convex risk limits by trading
Larsen, Kasper; Pirvu, Traian A.; Shreve, Steven E.; … - In: Finance and stochastics 9 (2005) 2, pp. 177-196
Persistent link: https://www.econbiz.de/10008214425
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Horizon dependence of utility optimizers in incomplete models
Larsen, Kasper; Yu, Hang - In: Finance and stochastics 16 (2012) 4, pp. 779-802
Persistent link: https://www.econbiz.de/10010019158
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A note on the existence of the power investor’s optimizer
Larsen, Kasper - In: Finance and stochastics 15 (2011) 1, pp. 183-191
Persistent link: https://www.econbiz.de/10008785535
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Satisfying convex risk limits by trading
Larsen, Kasper; Pirvu, Traian A.; Shreve, Steven E.; … - In: Finance and stochastics 9 (2005) 2, pp. 177-195
Persistent link: https://www.econbiz.de/10002747136
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Horizon dependence of utility optimizers in incomplete models
Larsen, Kasper; Yu, Hang - In: Finance and stochastics 16 (2012) 4, pp. 779-801
Persistent link: https://www.econbiz.de/10009623531
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Taylor approximation of incomplete Radner equilibrium models
Choi, Jin Hyuk; Larsen, Kasper - In: Finance and stochastics 19 (2015) 3, pp. 653-679
Persistent link: https://www.econbiz.de/10011418332
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Facelifting in utility maximization
Larsen, Kasper; Soner, Halil Mete; Žitković, Gordan - In: Finance and stochastics 20 (2016) 1, pp. 99-121
Persistent link: https://www.econbiz.de/10011460007
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An expansion in the model space in the context of utility maximization
Larsen, Kasper; Mostovyi, Oleksii; Žitković, Gordan - In: Finance and stochastics 22 (2018) 2, pp. 297-326
Persistent link: https://www.econbiz.de/10011945713
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Conditional Davis pricing
Larsen, Kasper; Soner, Halil Mete; Žitković, Gordan - In: Finance and stochastics 24 (2020) 3, pp. 565-599
Persistent link: https://www.econbiz.de/10012518059