| Publication | Date of Publication | Type |
|---|
Reference dependence and endogenous anchors
Mathematical Finance | 2024-11-20 | Paper |
Dynamic trading volume
Mathematical Finance | 2024-05-06 | Paper |
Young, timid, and risk takers
Mathematical Finance | 2023-09-28 | Paper |
Leveraged funds: robust replication and performance evaluation
Quantitative Finance | 2023-09-25 | Paper |
Rogue traders
Finance and Stochastics | 2023-07-06 | Paper |
Portfolio Theory and Arbitrage: A Course in Mathematical Finance
Quantitative Finance | 2022-10-14 | Paper |
Informational efficiency and welfare
Mathematics and Financial Economics | 2022-09-23 | Paper |
Minimizing the repayment cost of federal student loans
SIAM Review | 2022-08-05 | Paper |
Short communication: American student loans: repayment and valuation
SIAM Journal on Financial Mathematics | 2021-05-17 | Paper |
High-frequency trading with fractional Brownian motion
Finance and Stochastics | 2021-04-29 | Paper |
Shortfall aversion
Mathematical Finance | 2021-03-23 | Paper |
Sharing profits in the sharing economy
SIAM Journal on Control and Optimization | 2020-12-10 | Paper |
Minimal \(\mathcal{L}^p \)-densities with prescribed marginals
Bernoulli | 2020-12-07 | Paper |
Minimal \(\mathcal{L}^p \)-densities with prescribed marginals
Bernoulli | 2020-12-07 | Paper |
Asset prices in segmented and integrated markets
Finance and Stochastics | 2020-11-11 | Paper |
Technical note: Options portfolio selection
Operations Research | 2020-11-04 | Paper |
Nonlinear price impact and portfolio choice
Mathematical Finance | 2020-05-14 | Paper |
Reference dependence and market participation
Mathematics of Operations Research | 2020-04-30 | Paper |
Consumption in incomplete markets
Finance and Stochastics | 2020-03-25 | Paper |
The learning premium
Mathematics and Financial Economics | 2020-02-21 | Paper |
Trading fractional Brownian motion
SIAM Journal on Financial Mathematics | 2019-11-22 | Paper |
Should commodity investors follow commodities' prices?
SIAM Journal on Financial Mathematics | 2019-07-10 | Paper |
Who should sell stocks?
Mathematical Finance | 2019-05-23 | Paper |
Consumption and investment with interest rate risk
Journal of Mathematical Analysis and Applications | 2019-05-10 | Paper |
The limits of leverage
Mathematical Finance | 2019-05-08 | Paper |
Consumption, investment and healthcare with aging
Finance and Stochastics | 2019-04-24 | Paper |
Rebalancing multiple assets with mutual price impact
Journal of Optimization Theory and Applications | 2018-11-27 | Paper |
Investing with liquid and illiquid assets
Mathematical Finance | 2018-04-13 | Paper |
Robust portfolios and weak incentives in long-run investments
Mathematical Finance | 2017-03-13 | Paper |
Robust portfolios and weak incentives in long-run investments
Mathematical Finance | 2017-03-13 | Paper |
The incentives of hedge fund fees and high-water marks
Mathematical Finance | 2016-04-14 | Paper |
Long horizons, high risk aversion, and endogenous spreads
Mathematical Finance | 2015-10-20 | Paper |
Static fund separation of long-term investments
Mathematical Finance | 2015-10-20 | Paper |
Hedge and mutual funds' fees and the separation of private investments
Finance and Stochastics | 2015-08-04 | Paper |
Hedging, arbitrage and optimality with superlinear frictions
The Annals of Applied Probability | 2015-07-27 | Paper |
Hedging, arbitrage and optimality with superlinear frictions
The Annals of Applied Probability | 2015-07-27 | Paper |
Fragility of arbitrage and bubbles in local martingale diffusion models
Finance and Stochastics | 2015-03-30 | Paper |
Transaction costs, trading volume, and the liquidity premium
Finance and Stochastics | 2014-11-14 | Paper |
Transaction costs, trading volume, and the liquidity premium
Finance and Stochastics | 2014-11-14 | Paper |
Abstract, classic, and explicit turnpikes
Finance and Stochastics | 2014-11-14 | Paper |
Abstract, classic, and explicit turnpikes
Finance and Stochastics | 2014-11-14 | Paper |
Portfolio Choice with Transaction Costs: A User’s Guide
Lecture Notes in Mathematics | 2013-09-11 | Paper |
The fundamental theorem of asset pricing under transaction costs
Finance and Stochastics | 2012-12-07 | Paper |
Portfolios and risk premia for the long run
The Annals of Applied Probability | 2012-04-20 | Paper |
Portfolios and risk premia for the long run
The Annals of Applied Probability | 2012-04-20 | Paper |
The fundamental theorem of asset pricing for continuous processes under small transaction costs
Annals of Finance | 2012-03-08 | Paper |
Relaxed utility maximization in complete markets
Mathematical Finance | 2011-11-21 | Paper |
| No free lunch under transaction costs for continuous processes | 2008-07-01 | Paper |
Optimal importance sampling with explicit formulas in continuous time
Finance and Stochastics | 2008-06-18 | Paper |
Consistent price systems and face-lifting pricing under transaction costs
The Annals of Applied Probability | 2008-04-23 | Paper |
NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND
Mathematical Finance | 2008-04-03 | Paper |
Asymmetric information in fads models
Finance and Stochastics | 2006-12-08 | Paper |
Super-replication and utility maximization in large financial markets
Stochastic Processes and their Applications | 2005-12-07 | Paper |
Necessary conditions for the existence of utility maximizing strategies under transaction costs
Statistics & Decisions | 2005-04-19 | Paper |
| scientific article; zbMATH DE number 2139387 (Why is no real title available?) | 2005-02-28 | Paper |
Optimal investment with transaction costs and without semimartingales
The Annals of Applied Probability | 2003-05-06 | Paper |
Risk minimization under transaction costs
Finance and Stochastics | 2002-11-21 | Paper |
Mean–variance hedging with random volatility jumps
Stochastic Analysis and Applications | 2002-01-01 | Paper |
Mean-variance hedging for stochastic volatility models
Mathematical Finance | 2001-03-29 | Paper |
| scientific article; zbMATH DE number 1130740 (Why is no real title available?) | 1999-09-21 | Paper |
Existence of an equilibrium with limited stock market participation and power utilities
(available as arXiv preprint) | N/A | Paper |
