Traian A. Pirvu

McMaster University

1280 Main Street West

Hamilton, Ontario L8S 4M4

Canada

http://ms.mcmaster.ca/~tpirvu/

SCHOLARLY PAPERS

7

DOWNLOADS

902

SSRN CITATIONS

2

CROSSREF CITATIONS

6

Scholarly Papers (7)

1.

Equilibrium Pricing in Incomplete Markets Under Translation Invariant Preferences

Number of pages: 30 Posted: 07 Feb 2011 Last Revised: 14 Mar 2013
ETH Zurich, Humboldt University of Berlin, Humboldt University of Berlin - Department of Mathematics and McMaster University
Downloads 547 (71,010)
Citation 4

Abstract:

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Competitive equilibrium, incomplete markets, heterogenous agents, trading constraints, one-fund theorem

2.

Cumulative Prospect Theory with Generalized Hyperbolic Skewed t Distribution

Number of pages: 43 Posted: 27 Oct 2014 Last Revised: 03 Oct 2017
Minsuk Kwak and Traian A. Pirvu
Department of Mathematics, Hankuk University of Foreign Studies and McMaster University
Downloads 186 (223,303)
Citation 2

Abstract:

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cumulative prospect theory, portfolio optimization, portfolio fund separation, generalized hyperbolic skewed t distribution

3.

Risk Minimization and Portfolio Diversification

Quantitative Finance 16.9 (2016): 1325-1332
Number of pages: 14 Posted: 03 Feb 2017 Last Revised: 04 Feb 2017
Farzad Pourbabaee, Minsuk Kwak and Traian A. Pirvu
California Institute of Technology, Department of Mathematics, Hankuk University of Foreign Studies and McMaster University
Downloads 105 (347,666)
Citation 2

Abstract:

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Portfolio Optimization; Risk Management; Correlation; Risk Measures

4.

Practical Partial Equilibrium Framework for Pricing of Mortality-Linked Instruments in Continuous Time

Number of pages: 22 Posted: 10 Aug 2020
Petar Jevtic, Minsuk Kwak and Traian A. Pirvu
Arizona State University (ASU) - School of Mathematical and Statistical Sciences, Department of Mathematics, Hankuk University of Foreign Studies and McMaster University
Downloads 36 (588,372)

Abstract:

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5.

Portfolio Optimization under Correlation Constraint

Number of pages: 19 Posted: 13 Jan 2020
Aditya Maheshwari and Traian A. Pirvu
Bank of America - Bank of America Securities and McMaster University
Downloads 26 (650,012)

Abstract:

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portfolio optimization, correlation constraints

6.

Maximizing the Growth Rate under Risk Constraints

Mathematical Finance, Vol. 19, Issue 3, pp. 423-455, July 2009
Number of pages: 33 Posted: 30 Jun 2009
Traian A. Pirvu and Gordan Žitković
McMaster University and affiliation not provided to SSRN
Downloads 2 (861,677)

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7.

A Multi Period Equilibrium Pricing Model

Minsuk Kwak, Traian A. Pirvu, and Huayue Zhang, “A Multiperiod Equilibrium Pricing Model,” Journal of Applied Mathematics, vol. 2014, Article ID 408685, 14 pages, 2014. doi:10.1155/2014/408685
Posted: 08 Nov 2013 Last Revised: 29 Apr 2014
Minsuk Kwak, Traian A. Pirvu and Huayue Zhang
Department of Mathematics, Hankuk University of Foreign Studies, McMaster University and Nankai University - School of Economics

Abstract:

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Nash subgame perfect, time consistency, incomplete market, equilibrium price