14 citations · 21 across the 8 of their papers we have counts for
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q-fin.MF2016
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…
q-fin.PM2016
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…