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Utility maximization, risk aversion, and stochastic dominance

Beiglböck, Mathias; Muhle-Karbe, Johannes; Temme, Johannes - 2011

Consider an investor trading dynamically to maximize expected utility from terminal wealth. Our aim is to study the dependence between her risk aversion and the distribution of the optimal terminal payoff . Economic intuition suggests that high risk aversion leads to a rather concentrated...

Persistent link: https://www.econbiz.de/10009009482

Utility maximization, risk aversion, and stochastic dominance

Beiglböck, Mathias; Muhle-Karbe, Johannes; Temme, Johannes - In: Mathematics and financial economics 6 (2012) 1, pp. 1-13

Persistent link: https://www.econbiz.de/10009544192

The dual optimizer for the growth-optimal portfolio under transaction costs

Gerhold, Stefan; Muhle-Karbe, Johannes; Schachermayer, … - In: Finance and stochastics 17 (2013) 2, pp. 325-354

Persistent link: https://www.econbiz.de/10009730811

Stochastic liquidity as a proxy for nonlinear price impact

Muhle-Karbe, Johannes; Wang, Zexin; Webster, Kevin T. - In: Operations research 72 (2024) 2, pp. 444-458

Persistent link: https://www.econbiz.de/10014520747

Optimal portfolio liquidation in target zone models and catalytic superprocesses

Neuman, Eyal; Schied, Alexander - In: Finance and stochastics 20 (2016) 2, pp. 495-509

Persistent link: https://www.econbiz.de/10011471483

Optimal trading : the importance of being adaptive

Bellani, Claudio; Brigo, Damiano; Done, Alex; Neuman, Eyal - In: International journal of financial engineering 8 (2021) 4, pp. 1-18

Persistent link: https://www.econbiz.de/10012815097

Incorporating signals into optimal trading

Lehalle, Charles-Albert; Neuman, Eyal - In: Finance and stochastics 23 (2019) 2, pp. 275-311

Persistent link: https://www.econbiz.de/10012023738