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Rásonyi, Miklós; Meireles‐Rodrigues, Andrea

On utility maximization under model uncertainty in discrete‐time markets

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Wiley, 2021

Published in: Mathematical Finance
Chau, Huy N.; Rásonyi, Miklós

On optimal investment with processes of long or negative memory

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Elsevier BV, 2018

Published in: Stochastic Processes and their Applications
Chau, Huy N.; Rásonyi, Miklós

Robust utility maximisation in markets with transaction costs

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Springer Science and Business Media LLC, 2019

Published in: Finance and Stochastics
Chau, Huy N.; Rásonyi, Miklós

Skorohod's Representation Theorem and Optimal Strategies for Markets with Frictions

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Society for Industrial & Applied Mathematics (SIAM), 2017

Published in: SIAM Journal on Control and Optimization
Rásonyi, Miklós; Meireles Rodrigues, Andrea

Continuous-Time Portfolio Optimisation for a Behavioural Investor with Bounded Utility on Gains

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Institute of Mathematical Statistics, 2014

Published in: Electronic Communications in Probability
Rásonyi, Miklós; Rodrigues, Andrea M.

Optimal portfolio choice for a behavioural investor in continuous-time markets

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Springer Science and Business Media LLC, 2013

Published in: Annals of Finance
Chau, Huy N.; Fukasawa, Masaaki; Rásonyi, Miklós

Super‐replication with transaction costs under model uncertainty for continuous processes

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Wiley, 2022

Published in: Mathematical Finance
Bank, Peter; Dolinsky, Yan; Rásonyi, Miklós

What if We Knew What the Future Brings? Optimal Investment for a Frontrunner with Price Impact

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Springer Science and Business Media LLC, 2022

Published in: Applied Mathematics & Optimization
Guasoni, Paolo; Mishura, Yuliya; Rásonyi, Miklós

High-frequency trading with fractional Brownian motion

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Springer Science and Business Media LLC, 2021

Published in: Finance and Stochastics
Guasoni, Paolo; Nagy, Lóránt; Rásonyi, Miklós

Young, timid, and risk takers

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Wiley, 2021

Published in: Mathematical Finance
Guasoni, Paolo; Rasonyi, Miklos; Nagy, Lóránt

Young, Timid, and Risk Takers

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Elsevier BV, 2020

Published in: SSRN Electronic Journal
Guasoni, Paolo; Mishura, Yuliya; Rasonyi, Miklos

High-Frequency Trading with Fractional Brownian Motion

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Elsevier BV, 2019

Published in: SSRN Electronic Journal
Blanchard, Romain; Carassus, Laurence; Rásonyi, Miklós

No-arbitrage and optimal investment with possibly non-concave utilities: a measure theoretical approach

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Springer Science and Business Media LLC, 2018

Published in: Mathematical Methods of Operations Research
Guasoni, Paolo; Nika, Zsolt; Rásonyi, Miklós

Trading Fractional Brownian Motion

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Society for Industrial & Applied Mathematics (SIAM), 2019

Published in: SIAM Journal on Financial Mathematics
Pennanen, Teemu; Perkkiö, Ari-Pekka; Rásonyi, Miklós

Existence of solutions in non-convex dynamic programming and optimal investment

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Springer Science and Business Media LLC, 2017

Published in: Mathematics and Financial Economics
Guasoni, Paolo; Nika, Zsolt; Rasonyi, Miklos

Trading Fractional Brownian Motion

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Elsevier BV, 2017

Published in: SSRN Electronic Journal
Mbele Bidima, Martin Le Doux; Rásonyi, Miklós

Asymptotic Exponential Arbitrage and Utility-Based Asymptotic Arbitrage in Markovian Models of Financial Markets

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Springer Science and Business Media LLC, 2015

Published in: Acta Applicandae Mathematicae
Carassus, Laurence; Rásonyi, Miklós; Rodrigues, Andrea M.

Non-concave utility maximisation on the positive real axis in discrete time

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Springer Science and Business Media LLC, 2015

Published in: Mathematics and Financial Economics
Herczegh, Attila; Prokaj, Vilmos; Rásonyi, Miklós

Diversity and No Arbitrage

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Informa UK Limited, 2014

Published in: Stochastic Analysis and Applications
Guasoni, Paolo; Lépinette, Emmanuel; Rásonyi, Miklós

The fundamental theorem of asset pricing under transaction costs

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Springer Science and Business Media LLC, 2012

Published in: Finance and Stochastics

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