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Browsing by Author "Pirvu, Traian A."

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    • 2011-07-11Buch
      CRRA Utility Maximization under Risk Constraints 
      Moreno-Bromberg, Santiago; Pirvu, Traian A.; Réveillac, Anthony
      This paper studies the problem of optimal investment with CRRA (constant, relative risk aversion) preferences, subject to dynamic risk constraints on trading strategies. The market model considered is continuous in time ...
    • 2011-11-16Buch
      Equilibrium Pricing in Incomplete Markets under Translation Invariant Preferences 
      Cheridito, Patrick; Horst, Ulrich; Kupper, Michael; Pirvu, Traian A.
      We provide results on the existence and uniqueness of equilibrium in dynamically incomplete financial markets in discrete time. Our framework allows for heterogeneous agents, unspanned random endowments and convex trading ...
    • 2010-03-08Buch
      On Securitization, Market Completion and Equilibrium Risk Transfer 
      Horst, Ulrich; Pirvu, Traian A.; Reis, Gonçalo Dos
      We propose an equilibrium framework within which to price financial securities written on non- tradable underlyings such as temperature indices. We analyze a financial market with a finite set of agents whose preferences ...
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