3 papers
math.ST2022
IID Time Series Testing
Andrey Sarantsev
Traditional white noise testing, for example the Ljung-Box test, studies only the autocorrelation function (ACF). Time series can be heteroscedastic and therefore not i.i.d. but st…
q-fin.PM2021
Optimal Portfolio with Power Utility of Absolute and Relative Wealth
Andrey Sarantsev
Portfolio managers often evaluate performance relative to benchmark, usually taken to be the Standard & Poor 500 stock index fund. This relative portfolio wealth is defined as the…
math.PR2020
A Note on Subexponential Rate of Convergence to Equilibrium for Processes on the Half-Line
Andrey Sarantsev
A powerful tool for studying long-term convergence of a Markov process to its stationary distribution is a Lyapunov function. In some sense, this is a substitute for eigenfunctions…