Publications

7. “Optimal Trading of a Basket of Futures Contracts,” with Tim Leung, to appear in Annals of Finance.

6. “Predictable forward utility: the binomial case,” with Thaleia Zariphopoulou and Xun Yu Zhou, SIAM Journal on Control and Optimization, 58(1):327–347, 2020.

5. “Optimal Dynamic Basis Trading,” with Tim Leung, Annals of Finance, 15(3):307-335, 2019.

4. “Optimal dividend policies under ratcheting and drawdown constraints on dividends,” with Erhan Bayraktar and Virginia Young, SIAM Journal on Financial Mathematics, 10(2):547–577, 2019.

3. “Optimal investment to minimize the probability of drawdown,” with Erhan Bayraktar and Virginia Young, Stochastics, 88(6):946-958, 2016.

2. “Minimizing the probability of lifetime drawdown under constant consumption,” with Erhan Bayraktar and Virginia Young, Insurance: Mathematics and Economics, 69:210-223, 2016.

1. “Minimizing the expected lifetime spent in drawdown under proportional consumption,” with Erhan Bayraktar and Virginia Young, Finance Research Letters, 15:106-114, 2015.

Preprints & Working Papers

• “Optimal Consumption under Habit Formation Based on Average Past Consumption,” with Erhan Bayraktar and Virginia Young, under preparation.

• “Optimal Portfolio Management under a Constraint on Realized Sharpe Ratio,” under preparation.

• “On the market-neutrality of optimal pairs-trading strategies,” preprint (2016).

Theses

• “Stochastic modeling and methods for portfolio management in cointegrated markets,”, D.Phil. Thesis, University of Oxford, 2014.

• “On utility of wealth maximization,”, M.Sc. Thesis, University of Twente, 2009.