Kasper Larsen
Affiliations: | Carnegie Mellon University, Pittsburgh, PA |
Area:
Applied Mathematics, Theoretical MathematicsGoogle:
"Kasper Larsen"
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Publications
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| Choi JH, Larsen K, Seppi DJ. (2020) Equilibrium effects of intraday order-splitting benchmarks Mathematics and Financial Economics. 1-38 |
| Larsen K, Soner HM, Žitković G. (2020) Conditional Davis pricing Finance and Stochastics. 24: 565-599 |
| Choi JH, Larsen K, Seppi DJ. (2019) Information and Trading Targets in a Dynamic Market Equilibrium Journal of Financial Economics. 132: 22-49 |
| Larsen K, Mostovyi O, Žitković G. (2018) An expansion in the model space in the context of utility maximization Finance and Stochastics. 22: 297-326 |
| Larsen K, Sue TS. (2016) Radner equilibrium in incomplete Lévy models Mathematics and Financial Economics. 10: 321-337 |
| Larsen K, Soner HM, Žitković G. (2015) Facelifting in utility maximization Finance and Stochastics |
| Choi JH, Larsen K. (2015) Taylor approximation of incomplete Radner equilibrium models Finance and Stochastics. 19: 653-679 |
| Christensen PO, Larsen K. (2014) Incomplete Continuous-Time Securities Markets with Stochastic Income Volatility The Review of Asset Pricing Studies. 4: 247-285 |
| Larsen K, Zitkovic G. (2013) On utility maximization under convex portfolio constraints Annals of Applied Probability. 23: 665-692 |
| Christensen PO, Larsen K, Munk C. (2012) Equilibrium in securities markets with heterogeneous investors and unspanned income risk Journal of Economic Theory. 147: 1035-1063 |