I
Igor Pikovsky
Publications - 1
Citations - 225
Igor Pikovsky is an academic researcher. The author has contributed to research in topics: Stochastic control & Portfolio optimization. The author has an hindex of 1, co-authored 1 publications receiving 209 citations.
Papers
More filters
Journal ArticleDOI
Anticipative portfolio optimization
Igor Pikovsky,Ioannis Karatzas +1 more
TL;DR: In this paper, a stochastic control problem arising in financial economics is studied to maximize expected logarithmic utility from terminal wealth and/or consumption, where the portfoilo is allowed to anticipate the future, i.e. the terminal values of the prices or of the driving Brownian motion.