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Gain-loss based convex risk limits in discrete-time trading

Pınar, Mustafa Ç. - In: Computational Management Science : CMS 8 (2011) 3, pp. 299-321

Persistent link: https://www.econbiz.de/10009231290

Equilibrium in an ambiguity-averse mean-variance investors market

Pınar, Mustafa Ç. - In: European journal of operational research : EJOR 237 (2014) 3, pp. 957-965

Persistent link: https://www.econbiz.de/10010384652

Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity

Paç, A. Burak; Pınar, Mustafa Ç. - In: Top : transactions in operations research 22 (2014) 3, pp. 875-891

Persistent link: https://www.econbiz.de/10010437113

The robust Merton problem of an ambiguity averse investor

Biagini, Sara; Pınar, Mustafa Ç. - In: Mathematics and financial economics 11 (2017) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10011900505

The Value of Knowing the Market Price of Risk

Colaneri, Katia - 2019

This paper presents an optimal allocation problem in a financial market with one risk-free and one risky asset, when the market is driven by a stochastic market price of risk. We solve the problem in continuous time, for an investor with a Constant Relative Risk Aversion (CRRA) utility, under...

Persistent link: https://www.econbiz.de/10012862680