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- Gordan Zitkovic
- 2001

We extend the Bipolar Theorem of Brannath and Schachermayer (1999) to the space of nonnegative cÃ dlÃ g supermartingales on a filtered probability space. We formulate the notion of fork-convexity as anâ€¦ (More)

- Gordan Zitkovic
- 2008

The concept of convex-compactness, weaker than the classical notion of compactness, is introduced and discussed. It is shown that a large class of convex subsets of topological vector spaces sharesâ€¦ (More)

This paper studies the problem of maximizing the expected utility of terminal wealth for a financial agent with an unbounded random endowment, and with a utility function which supports both positiveâ€¦ (More)

- Gordan Zitkovic
- Finance and Stochastics
- 2006

We establish existence of stochastic financial equilibria on filtered spaces more general than the ones generated by finite-dimensional Brownian motions. These equilibria are expressed in real termsâ€¦ (More)

- Thaleia Zariphopoulou, Gordan Zitkovic
- 2008 47th IEEE Conference on Decision and Control
- 2008

This paper deals with the problem one faces when the maturity (horizon, expiration date, etc.) associated with a particular risky position is not fixed. We take the view that the mechanism used toâ€¦ (More)

- Gordan Zitkovic
- 2004

We introduce a linear space of finitely additive measures to treat the problem of optimal expected utility from consumption under a stochastic clock and an unbounded random endowment process. In thisâ€¦ (More)

- Gordan Zitkovic
- Finance and Stochastics
- 2012

We prove existence and uniqueness of stochastic equilibria in a class of incomplete continuous-time financial environments where the market participants are exponential utility maximizers withâ€¦ (More)

We perform a stability analysis for the utility maximization problem in a general semimartingale model where both liquid and illiquid assets (random endowments) are present. Small misspecificationsâ€¦ (More)

This paper studies the problem of maximizing the expected utility of terminal wealth for a financial agent with an unbounded random endowment, and with a utility function which supports both positiveâ€¦ (More)

We investigate the ergodic problem of growth-rate maximization under a class of risk constraints in the context of incomplete, ItÃ´-process models of financial markets with random ergodicâ€¦ (More)