Kasper Larsen

Rutgers, The State University of New Jersey

311 North 5th Street

New Brunswick, NJ 08854

United States

SCHOLARLY PAPERS

10

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Top 42,993

in Total Papers Downloads

1,338

SSRN CITATIONS
Rank 27,929

SSRN RANKINGS

Top 27,929

in Total Papers Citations

18

CROSSREF CITATIONS

15

Scholarly Papers (10)

1.

Information and Trading Targets in a Dynamic Market Equilibrium

Number of pages: 75 Posted: 08 Feb 2015 Last Revised: 19 Apr 2018
Jin Hyuk Choi, Kasper Larsen and Duane J. Seppi
Ulsan National Institute of Science and Technology (UNIST), Rutgers, The State University of New Jersey and Carnegie Mellon University - David A. Tepper School of Business
Downloads 344 (109,213)
Citation 12

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Order-splitting, parent and child orders, optimal order execution, portfolio rebalancing, market microstructure

2.

Equilibrium in Securities Markets with Heterogeneous Investors and Unspanned Income Risk

Number of pages: 38 Posted: 23 Mar 2009 Last Revised: 24 Dec 2016
Peter O. Christensen, Kasper Larsen and Claus Munk
Copenhagen Business School - Department of Finance, Rutgers, The State University of New Jersey and Copenhagen Business School
Downloads 267 (143,029)
Citation 1

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Unspanned income, heterogeneous preferences, continuous-time equilibrium, risk-free rate puzzle, equity premium, incomplete markets, Brownian motion

3.

Incomplete Continuous-Time Securities Markets with Stochastic Income Volatility

Number of pages: 40 Posted: 18 Mar 2011 Last Revised: 27 Apr 2013
Peter O. Christensen and Kasper Larsen
Copenhagen Business School - Department of Finance and Rutgers, The State University of New Jersey
Downloads 224 (169,747)
Citation 5

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Incomplete markets, non-Pareto efficiency, stochastic volatility, stochastic interest rates, stochastic risk premia

4.

Equilibrium Effects of Intraday Order-Splitting Benchmarks

Number of pages: 57 Posted: 27 Mar 2018 Last Revised: 30 Mar 2020
Jin Hyuk Choi, Kasper Larsen and Duane J. Seppi
Ulsan National Institute of Science and Technology (UNIST), Rutgers, The State University of New Jersey and Carnegie Mellon University - David A. Tepper School of Business
Downloads 211 (179,603)
Citation 3

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Dynamic trading, TWAP, VWAP, portfolio rebalancing, liquidity, market-maker inventory, equilibria, market microstructure

5.

Asset Pricing Puzzles and Price-Impact

Number of pages: 65 Posted: 16 Oct 2019 Last Revised: 26 Feb 2021
Xiao Chen, Jin Hyuk Choi, Kasper Larsen and Duane J. Seppi
Rutgers, The State University of New Jersey, Ulsan National Institute of Science and Technology (UNIST), Rutgers, The State University of New Jersey and Carnegie Mellon University - David A. Tepper School of Business
Downloads 83 (365,985)

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Asset pricing, price-impact, Nash equilibrium, Radner equilibrium, Pareto-efficient equilibrium, risk-free rate puzzle

6.

Radner Equilibrium in Incomplete Levy Models

Number of pages: 22 Posted: 14 Jul 2015
Kasper Larsen and Tanawit Sae Sue
Rutgers, The State University of New Jersey and Carnegie Mellon University - Department of Mathematical Sciences
Downloads 65 (419,217)
Citation 9

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Unspanned income, heterogeneous exponential utilities, continuous-time equilibrium, risk-free rate puzzle, equity premium puzzle, Sharpe ratio, Levy processes

7.

Facelifting in Utility Maximization

Swiss Finance Institute Research Paper No. 14-61
Number of pages: 26 Posted: 21 Oct 2014
Kasper Larsen, Halil Mete Soner and Gordan Zitkovic
Rutgers, The State University of New Jersey, ETH Zürich and University of Texas at Austin
Downloads 58 (443,617)

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Boundary layer, convex analysis, convex duality, facelift, financial mathematics, incomplete markets, Markov processes, utility-maximization, unspanned endowment.

8.

Conditional Davis Pricing

Swiss Finance Institute Research Paper No. 18-39
Number of pages: 35 Posted: 09 May 2018 Last Revised: 21 Aug 2018
Kasper Larsen, Halil Mete Soner and Gordan Zitkovic
Rutgers, The State University of New Jersey, ETH Zürich and University of Texas at Austin
Downloads 43 (504,217)
Citation 1

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Incomplete markets, utility-maximization, unspanned endowment, local martingales, linearization, directional derivative

9.

Learning about Latent Dynamic Trading Demand

Number of pages: 53 Posted: 28 May 2021 Last Revised: 06 Aug 2021
Xiao Chen, Jin Hyuk Choi, Kasper Larsen and Duane J. Seppi
Rutgers, The State University of New Jersey, Ulsan National Institute of Science and Technology (UNIST), Rutgers, The State University of New Jersey and Carnegie Mellon University - David A. Tepper School of Business
Downloads 41 (513,415)

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Order-splitting, optimal order execution, subgame perfect Nash equilibrium, dynamic learning, trading targets, front-running

10.

Continuity of Utility-Maximization with Respect to Preferences

Mathematical Finance, Vol. 19, Issue 2, pp. 237-250, April 2009
Number of pages: 14 Posted: 27 Apr 2009
Kasper Larsen
Rutgers, The State University of New Jersey
Downloads 2 (775,168)
Citation 1
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