Browsing by Author "Pirvu, Traian A."

Now showing items 1-3 of 3

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 ...