14 citations · 21 across the 8 of their papers we have counts for
14 papers
Optimal consumption under loss-averse multiplicative habit-formation preferences
Bahman Angoshtari, Xiang Yu, Fengyi Yuan
This paper studies a loss-averse version of the multiplicative habit formation preference and the corresponding optimal investment and consumption strategies over an infinite horiz…
Rank-Dependent Predictable Forward Performance Processes
Bahman Angoshtari, Shida Duan
Predictable forward performance processes (PFPPs) are stochastic optimal control frameworks for an agent who controls a randomly evolving system but can only prescribe the system d…
Predictable Forward Performance Processes in Complete Markets
Bahman Angoshtari
We establish existence of Predictable Forward Performance Processes (PFPPs) in complete markets, which has been previously shown only in the binomial setting. Our market model can…
Optimal Investment and Consumption under a Habit-Formation Constraint
Bahman Angoshtari, Erhan Bayraktar, Virginia R. Young
We formulate an infinite-horizon optimal investment and consumption problem, in which an individual forms a habit based on the exponentially weighted average of her past consumptio…
Optimal Insurance to Minimize the Probability of Ruin: Inverse Survival Function Formulation
Bahman Angoshtari, Virginia R. Young
We find the optimal indemnity to minimize the probability of ruin when premium is calculated according to the distortion premium principle with a proportional risk load, and admiss…
Optimal Consumption under a Habit-Formation Constraint: the Deterministic Case
Bahman Angoshtari, Erhan Bayraktar, Virginia R. Young
We formulate and solve a deterministic optimal consumption problem to maximize the discounted CRRA utility of an individual's consumption-to-habit process assuming she only invests…
Optimal Trading of a Basket of Futures Contracts
Bahman Angoshtari, Tim Leung
We study the problem of dynamically trading multiple futures contracts with different underlying assets. To capture the joint dynamics of stochastic bases for all traded futures, w…
Optimal Dynamic Basis Trading
Bahman Angoshtari, Tim Leung
We study the problem of dynamically trading a futures contract and its underlying asset under a stochastic basis model. The basis evolution is modeled by a stopped scaled Brownian…
Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates
Bahman Angoshtari, Erhan Bayraktar, Virginia R. Young
We consider the optimal dividend problem under a habit formation constraint that prevents the dividend rate to fall below a certain proportion of its historical maximum, the so-cal…
Predictable Forward Performance Processes: The Binomial Case
Bahman Angoshtari, Thaleia Zariphopoulou, Xun Yu Zhou
We introduce a new class of forward performance processes that are endogenous and predictable with regards to an underlying market information set and, furthermore, are updated at…
On the Market-Neutrality of Optimal Pairs-Trading Strategies
Bahman Angoshtari
We consider the problem of optimal investment in a market with two cointegrated stocks and an agent with CRRA utility. We extend the findings of Liu and Timmermann [The Review of F…
Minimizing the Expected Lifetime Spent in Drawdown under Proportional Consumption
Bahman Angoshtari, Erhan Bayraktar, Virginia R. Young
We determine the optimal amount to invest in a Black-Scholes financial market for an individual who consumes at a rate equal to a constant proportion of her wealth and who wishes t…
Minimizing the Probability of Lifetime Drawdown under Constant Consumption
Bahman Angoshtari, Erhan Bayraktar, Virginia R. Young
We assume that an individual invests in a financial market with one riskless and one risky asset, with the latter's price following geometric Brownian motion as in the Black-Schole…
Optimal Investment to Minimize the Probability of Drawdown
Bahman Angoshtari, Erhan Bayraktar, Virginia R. Young
We determine the optimal investment strategy in a Black-Scholes financial market to minimize the so-called {\it probability of drawdown}, namely, the probability that the value of…