Kasper Larsen

Publication Activity (10 Years)

Years Active: 2005-2023
Publications (10 Years): 4

Top Topics

Utility Maximization

Probabilistic Model

Statistical Models

Top Venues

Finance Stochastics

SIAM J. Control. Optim.

Publications

Jin Hyuk Choi, Heeyoung Kwon, Kasper Larsen
Trading Constraints in Continuous-Time Kyle Models. SIAM J. Control. Optim. 61 (3) (2023)
Kasper Larsen, Oleksii Mostovyi, Gordan Zitkovic
An expansion in the model space in the context of utility maximization. Finance Stochastics 22 (2) (2018)
Kasper Larsen, Halil Mete Soner, Gordan Zitkovic
Facelifting in utility maximization. Finance Stochastics 20 (1) (2016)
Jin Hyuk Choi, Kasper Larsen
Taylor approximation of incomplete Radner equilibrium models. Finance Stochastics 19 (3) (2015)
Peter Ove Christensen, Kasper Larsen, Claus Munk
Equilibrium in securities markets with heterogeneous investors and unspanned income risk. J. Econ. Theory 147 (3) (2012)
Kasper Larsen, Hang Yu
Horizon dependence of utility optimizers in incomplete models. Finance Stochastics 16 (4) (2012)
Kasper Larsen
A note on the existence of the power investor's optimizer. Finance Stochastics 15 (1) (2011)
Kasper Larsen, Traian A. Pirvu, Steven E. Shreve, Reha H. Tütüncü
Satisfying convex risk limits by trading. Finance Stochastics 9 (2) (2005)