Publications
10. “Optimal Consumption under a Habit-Formation Constraint: the Deterministic Case,” with Erhan Bayraktar and Virginia Young, to appear in SIAM Journal on Financial Mathematics. arXiv:2012.02277
9. “Predictable Forward Performance Processes in Complete Markets,” to appear in Probability, Uncertainty and Quantitative Risk. arXiv:2206.03608
8. “Optimal Investment and Consumption under a Habit-Formation Constraint,” with Erhan Bayraktar and Virginia Young, SIAM Journal on Financial Mathematics, 13(1):321–352, 2022. arXiv:2102.03414
7. “Predictable Forward Performance Processes: The Binomial Case,” with Thaleia Zariphopoulou and Xun Yu Zhou, SIAM Journal on Control and Optimization, 58(1):327–347, 2020. arXiv:1611.04494
6. “Optimal Trading of a Basket of Futures Contracts,” with Tim Leung, Annals of Finance, 16(2):253–280, 2020. arXiv:1910.04943
5. “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. arXiv:1806.07499
4. “Optimal Dynamic Basis Trading,” with Tim Leung, Annals of Finance, 15(3):307-335, 2019. arXiv:1809.05961
3. “Optimal investment to minimize the probability of drawdown,” with Erhan Bayraktar and Virginia Young, Stochastics, 88(6):946-958, 2016. arXiv:1506.00166
2. “Minimizing the probability of lifetime drawdown under constant consumption,” with Erhan Bayraktar and Virginia Young, Insurance: Mathematics and Economics, 69:210-223, 2016. arXiv:1507.08713
1. “Minimizing the expected lifetime spent in drawdown under proportional consumption,” with Erhan Bayraktar and Virginia Young, Finance Research Letters, 15:106-114, 2015. arXiv:1508.01914
Preprints & Working Papers
“Optimal Insurance to Minimize the Probability of Ruin: Inverse Survival Function Formulation,” with Virginia Young (last update: Dec. 2020).
“On the market-neutrality of optimal pairs-trading strategies,” preprint (last update: Aug. 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.