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Browsing by Author "Pirvu, Traian A."
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2011-07-11BuchCRRA Utility Maximization under Risk Constraints Moreno-Bromberg, Santiago; Pirvu, Traian A.; Réveillac, AnthonyThis 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 ...
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2011-11-16BuchEquilibrium 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 ...
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2010-03-08BuchOn Securitization, Market Completion and Equilibrium Risk Transfer Horst, Ulrich; Pirvu, Traian A.; Reis, Gonçalo DosWe 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 ...