Follow
Traian Pirvu
Traian Pirvu
Verified email at math.mcmaster.ca - Homepage
Title
Cited by
Cited by
Year
Investment and consumption without commitment
I Ekeland, TA Pirvu
Mathematics and Financial Economics 2 (1), 57-86, 2008
2792008
Time-consistent portfolio management
I Ekeland, O Mbodji, TA Pirvu
SIAM Journal on Financial Mathematics 3 (1), 1-32, 2012
1542012
Multi-stock portfolio optimization under prospect theory
TA Pirvu, K Schulze
Mathematics and Financial Economics 6, 337-362, 2012
762012
Optimal investment, consumption and life insurance under mean-reverting returns: The complete market solution
TA Pirvu, H Zhang
Insurance: Mathematics and Economics 51 (2), 303-309, 2012
642012
Equilibrium pricing in incomplete markets under translation invariant preferences
P Cheridito, U Horst, M Kupper, TA Pirvu
Mathematics of Operations Research 41 (1), 174-195, 2016
572016
Portfolio optimization under the value-at-risk constraint
TA Pirvu
Quantitative Finance 7 (2), 125-136, 2007
422007
Risk measures and portfolio optimization
PSN Gambrah, TA Pirvu
Journal of Risk and Financial Management 7 (3), 113-129, 2014
392014
On securitization, market completion and equilibrium risk transfer
U Horst, TA Pirvu, G Dos Reis
Mathematics and Financial Economics 2, 211-252, 2010
352010
Satisfying convex risk limits by trading
K Larsen, TA Pirvu, SE Shreve, R Tütüncü
Finance and Stochastics 9 (2), 177-195, 2005
322005
Investment–consumption with regime-switching discount rates
TA Pirvu, H Zhang
Mathematical Social Sciences 71, 142-150, 2014
312014
CRRA utility maximization under risk constraints
S Moreno-Bromberg, T Pirvu, A Réveillac
arXiv preprint arXiv:1106.1702, 2011
172011
Maximizing the growth rate under risk constraints
TA Pirvu, G Žitković
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2009
172009
Cumulative Prospect Theory with Generalized Hyperbolic Skewed Distribution
M Kwak, TA Pirvu
SIAM Journal on Financial Mathematics 9 (1), 54-89, 2018
132018
Multi-period investment strategies under cumulative prospect theory
L Deng, TA Pirvu
Journal of Risk and Financial Management 12 (2), 83, 2019
112019
Utility indifference pricing: a time consistent approach
TA Pirvu, H Zhang
Applied mathematical finance 20 (4), 304-326, 2013
112013
An elliptic partial differential equation and its application
DP Covei, TA Pirvu
Applied Mathematics Letters 101, 106059, 2020
82020
Numerical analysis for Spread option pricing model in illiquid underlying asset market: full feedback model
AR Yazdanian, TA Pirvu
arXiv preprint arXiv:1406.1149, 2014
82014
A multiperiod equilibrium pricing model
M Kwak, TA Pirvu, H Zhang
Journal of Applied Mathematics 2014 (1), 408685, 2014
72014
Stochastic production planning with regime switching
EC Canepa, DP Covei, TA Pirvu
arXiv preprint arXiv:2002.09724, 2020
62020
Risk management under Omega measure
MR Metel, TA Pirvu, J Wong
Risks 5 (2), 27, 2017
62017
The system can't perform the operation now. Try again later.
Articles 1–20