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, to appear in SIAM Journal on Control and Optimization.

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

• “On the market-neutrality of optimal pairs-trading strategies,”, under review.

• “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.

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.