Seuraa
Kasper Larsen
Kasper Larsen
Vahvistettu sähköpostiosoite verkkotunnuksessa math.rutgers.edu - Kotisivu
Nimike
Viittaukset
Viittaukset
Vuosi
No arbitrage and the growth optimal portfolio
MM Christensen, K Larsen
Stochastic Analysis and Applications 25 (1), 255-280, 2007
822007
Stability of utility-maximization in incomplete markets
K Larsen, G Žitković
Stochastic Processes and their Applications 117 (11), 1642-1662, 2007
66*2007
Information and trading targets in a dynamic market equilibrium
JH Choi, K Larsen, DJ Seppi
Journal of Financial Economics 132 (3), 22-49, 2019
482019
Equilibrium in securities markets with heterogeneous investors and unspanned income risk
PO Christensen, K Larsen, C Munk
Journal of Economic Theory 147 (3), 1035-1063, 2012
402012
Optimal portfolio delegation when parties have different coefficients of risk aversion
K Larsen
Quantitative Finance 5 (5), 503-512, 2005
392005
Taylor approximation of incomplete Radner equilibrium models
JH Choi, K Larsen
Finance and Stochastics 19, 653-679, 2015
322015
Satisfying convex risk limits by trading
K Larsen, TA Pirvu, SE Shreve, R Tütüncü
Finance and Stochastics 9 (2), 177-195, 2005
322005
Incomplete continuous-time securities markets with stochastic income volatility
PO Christensen, K Larsen
The Review of Asset Pricing Studies 4 (2), 247-285, 2014
282014
Continuity of Utility‐maximization with Respect to Preferences
K Larsen
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2009
272009
Equilibrium effects of intraday order-splitting benchmarks
JH Choi, K Larsen, DJ Seppi
Mathematics and Financial Economics 15 (2), 315-352, 2018
23*2018
On utility maximization under convex portfolio constraints
K Larsen, G Žitković
222013
Radner equilibrium in incomplete Levy models
K Larsen, T Sae Sue
Mathematics and Financial Economics 10 (3), 321-337,, 2016
152016
An expansion in the model space in the context of utility maximization
K Larsen, O Mostovyi, G Žitković
Finance and Stochastics 22, 297-326, 2018
142018
On the semimartingale property via bounded logarithmic utility
K Larsen, G Žitković
Annals of Finance 4, 255-268, 2008
122008
Horizon dependence of utility optimizers in incomplete models
K Larsen, H Yu
Finance and Stochastics 16, 779-801, 2012
112012
Facelifting in utility maximization
K Larsen, HM Soner, G Žitković
Finance and Stochastics 20 (1), 99-121, 2016
72016
A note on the existence of the power investor’s optimizer
K Larsen
Finance and Stochastics 15, 183-190, 2011
72011
Continuous equilibria with heterogeneous preferences and unspanned endowments
K Larsen
Working paper, Carnegie Mellon University, 2009
52009
Uniqueness in Cauchy problems for diffusive real-valued strict local martingales
U Çetin, K Larsen
Transactions of the American Mathematical Society, Series B 10 (13), 381-406, 2023
22023
Conditional Davis pricing
K Larsen, HM Soner, G Žitković
Finance and Stochastics 24, 565-599, 2020
12020
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Artikkelit 1–20