8 citations · 12 across the 10 of their papers we have counts for
11 papers
When Hedging Changes the Payoff: Option Replication with Price Impact and Execution Costs
David Itkin, Leandro Sánchez-Betancourt
Hedging a derivative by trading the underlying asset changes the payoff that the hedging intended to replicate. We study this phenomenon when trading generates price impact and exe…
Folding representations of reflected diffusions
David Itkin, Ioannis Karatzas
Diffusion processes with reflection, possibly oblique, on the boundary of a given sufficiently regular closed convex domain in Euclidean space, are constructed in a novel way via i…
Stochastic factors can matter: improving robust growth under ergodicity
Balint Binkert, David Itkin, Paul Mangers Bastian +1
Drifts of asset returns are notoriously difficult to model accurately and, yet, trading strategies obtained from portfolio optimization are very sensitive to them. To mitigate this…
Consumption-Investment Problem in Rank-Based Models
David Itkin
We study a consumption-investment problem in a multi-asset market where the returns follow a generic rank-based model. Our main result derives an HJB equation with Neumann boundary…
Stochastic portfolio theory with price impact
David Itkin
We develop a framework for stochastic portfolio theory (SPT), which incorporates modern nonlinear price impact and impact decay models. Our main result is the derivation of the cel…
Calibrated rank volatility stabilized models for large equity markets
David Itkin, Martin Larsson
In the framework of stochastic portfolio theory we introduce rank volatility stabilized models for large equity markets over long time horizons. These models are rank-based extensi…
Generalized Rank Dirichlet Distributions
David Itkin
We study a new parametric family of distributions on the ordered simplex , which we cal…
Ergodic robust maximization of asymptotic growth with stochastic factor processes
David Itkin, Benedikt Koch, Martin Larsson +1
We consider a robust asymptotic growth problem under model uncertainty in the presence of stochastic factors. We fix two inputs representing the instantaneous covariance for the as…
Open Markets and Hybrid Jacobi Processes
David Itkin, Martin Larsson
We propose a unified approach to several problems in Stochastic Portfolio Theory (SPT), which is a framework for equity markets with a large number of stocks. Our approach comb…
On A Class Of Rank-Based Continuous Semimartingales
David Itkin, Martin Larsson
Using the theory of Dirichlet forms we construct a large class of continuous semimartingales on an open domain , which are governed by rank-based, in additi…
Robust Asymptotic Growth in Stochastic Portfolio Theory under Long-Only Constraints
David Itkin, Martin Larsson
We consider the problem of maximizing the asymptotic growth rate of an investor under drift uncertainty in the setting of stochastic portfolio theory (SPT). As in the work of Karda…