Traian A. Pirvu

Publication Activity (10 Years)

Years Active: 2005-2020
Publications (10 Years): 4

Top Topics

Variance Reduction

Cumulative Prospect Theory

Portfolio Management

Top Venues

Math. Soc. Sci.

SIAM J. Financial Math.

Oper. Res. Lett.

Appl. Math. Lett.

Publications

Dragos-Patru Covei, Traian A. Pirvu
An elliptic partial differential equation and its application. Appl. Math. Lett. 101 (2020)
Oumar Mbodji, A. Nguyen-Huu, Traian A. Pirvu
Optimal sharing rule for a household with a portfolio management problem. Math. Soc. Sci. 101 (2019)
Minsuk Kwak, Traian A. Pirvu
Cumulative Prospect Theory with Generalized Hyperbolic Skewed t Distribution. SIAM J. Financial Math. 9 (1) (2018)
Patrick Cheridito, Ulrich Horst, Michael Kupper, Traian A. Pirvu
Equilibrium Pricing in Incomplete Markets Under Translation Invariant Preferences. Math. Oper. Res. 41 (1) (2016)
A. Shidfar, Khalil Paryab, A. R. Yazdanian, Traian A. Pirvu
Numerical analysis for Spread option pricing model of markets with finite liquidity: first-order feedback model. Int. J. Comput. Math. 91 (12) (2014)
Traian A. Pirvu, Huayue Zhang
Investment-consumption with regime-switching discount rates. Math. Soc. Sci. 71 (2014)
Minsuk Kwak, Traian A. Pirvu, Huayue Zhang
A Multiperiod Equilibrium Pricing Model. J. Appl. Math. 2014 (2014)
Sean W. Jewell, Yang Li, Traian A. Pirvu
Non-linear equity portfolio variance reduction under a mean-variance framework - A delta-gamma approach. Oper. Res. Lett. 41 (6) (2013)
Ivar Ekeland, Oumar Mbodji, Traian A. Pirvu
Time-Consistent Portfolio Management. SIAM J. Financial Math. 3 (1) (2012)
Traian A. Pirvu, Huayue Zhang
On Investment-Consumption with Regime-Switching CoRR (2011)
Kasper Larsen, Traian A. Pirvu, Steven E. Shreve, Reha H. Tütüncü
Satisfying convex risk limits by trading. Finance Stochastics 9 (2) (2005)