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Revaz Tevzadze
ORCID
Publication Activity (10 Years)
Years Active: 2003-2017
Publications (10 Years): 1
Top Topics
Utility Maximization
Single Period
Algorithm For Linear Programming
Lagrangian Dual
Top Venues
Finance Stochastics
SIAM J. Financial Math.
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Publications
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Michael Mania
,
Revaz Tevzadze
On Regularity of Primal and Dual Dynamic Value Functions Related to Investment Problems and Their Representations as Backward Stochastic PDE Solutions.
SIAM J. Financial Math.
8 (1) (2017)
Revaz Tevzadze
,
Teimuraz Toronjadze
,
Tamaz Uzunashvili
Robust utility maximization for a diffusion market model with misspecified coefficients.
Finance Stochastics
17 (3) (2013)
Michael Mania
,
Revaz Tevzadze
,
Teimuraz Toronjadze
Mean-Variance Hedging Under Partial Information.
SIAM J. Control. Optim.
47 (5) (2008)
Michael Mania
,
Revaz Tevzadze
A Semimartingale Backward Equation and the Variance-Optimal Martingale Measure under General Information Flow.
SIAM J. Control. Optim.
42 (5) (2003)
Michael Mania
,
Marina Santacroce
,
Revaz Tevzadze
A semimartingale BSDE related to the minimal entropy martingale measure.
Finance Stochastics
7 (3) (2003)