Zitkovic, Gordan
- Stability of utility-maximization in incomplete markets
2007/06/04 by Kasper Larsen, Larsen, Kasper, Gordan Žitković +2 · 2 citations
Economics, Econometrics and Finance · Mathematics · #Economic theories and models #FOS: Economics and business #FOS: Mathematics #Financial Markets and Investment Strategies #Optimization and Control (math.OC) #Portfolio Management (q-fin.PM) #Probability (math.PR) #Stochastic processes and financial applications #math.OC #math.PR #q-fin.PM
- Stability of the utility maximization problem with random endowment in incomplete markets
2007/06/04 by Constantinos Kardaras, Kardaras, Constantinos, Gordan Žitković +2 · 3 citations
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #Economic theories and models #FOS: Economics and business #FOS: Mathematics #Optimization and Control (math.OC) #Portfolio Management (q-fin.PM) #Probability (math.PR) #Risk and Portfolio Optimization #Stochastic processes and financial applications #math.OC #math.PR #q-fin.PM
- Shadow prices and well-posedness in the problem of optimal investment and consumption with transaction costs
2012/04/01 by Jin Hyuk Choi, Choi, Jin Hyuk, Mihai Ŝırbu +5 · 1 citation
Economics, Econometrics and Finance · Mathematics · #Economic theories and models #FOS: Economics and business #FOS: Mathematics #Financial Markets and Investment Strategies #Optimization and Control (math.OC) #Portfolio Management (q-fin.PM) #Stochastic processes and financial applications #math.OC #q-fin.PM
- Existence, Characterization and Approximation in the Generalized Monotone-Follower Problem
2015/05/10 by Li, Jiexian, Zitkovic, Gordan · 1 citation
#93E20 #FOS: Mathematics #Optimization and Control (math.OC)
- An incomplete equilibrium with a stochastic annuity
2018/09/16 by Weston, Kim, Zitkovic, Gordan · 1 citation
#FOS: Economics and business #Mathematical Finance (q-fin.MF) #Primary: 91B51. Secondary: 60H30
- Maturity-independent risk measures
2007/10/20 by Thaleia Zariphopoulou, Gordan Zitkovic, Zariphopoulou, Thaleia +2 · 1 citation
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #FOS: Economics and business #FOS: Mathematics #Financial Risk and Volatility Modeling #Optimization and Control (math.OC) #Probability (math.PR) #Risk Management (q-fin.RM) #Risk and Portfolio Optimization #Stochastic processes and financial applications #math.OC #math.PR #q-fin.RM