8 citations · 12 across the 10 of their papers we have counts for
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q-fin.MF2025
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…
q-fin.MF2025
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…
q-fin.MF2025
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…