26 citations · 71 across the 45 of their papers we have counts for
50 papers
Long-Horizon Investment with Delayed Information in a Mean-Reverting Market
Yan Dolinsky
We study long-term investment in an Ornstein-Uhlenbeck diffusion model with exponential utility. We solve the finite-horizon problem explicitly and show that information delay qual…
High-Frequency Exponential-Utility Maximization under Fractional Brownian Motion
Yan Dolinsky
We study utility maximization for high-frequency trading in fractional Brownian motion models. We first consider exponential utility in the discretized arithmetic model. Using spec…
Scaling Limits for the Discretization of the Martingale Representation Theorem
Yan Dolinsky
In this note, we derive a large-deviation-type scaling limit for a discretization of the Martingale Representation Theorem. Somewhat surprisingly, and to the best of our knowledge,…
Scaling Limits for Exponential Hedging in Trinomial Models
Yan Dolinsky, Xin Zhang
We study scaled trinomial models converging to the Black--Scholes model, and analyze exponential certainty-equivalent prices for path-dependent European options. As the number of t…
A Unique Inverse Decomposition of Positive Definite Matrices under Linear Constraints
Yan Dolinsky, Or Zuk
We study a nonlinear decomposition of a positive definite matrix into two components: the inverse of another positive definite matrix and a symmetric matrix constrained to lie in a…
Scaling Limits for Exponential Hedging in the Brownian Framework
Yan Dolinksy, Xin Zhang
In this paper, we consider scaling limits of exponential utility indifference prices for European contingent claims in the Bachelier model. We show that the scaling limit can be re…