38 citations · 150 across the 39 of their papers we have counts for
3 papers · 1 filter
Relative arbitrage problem under eigenvalue lower bounds
Jou-Hua Lai, Mykhaylo Shkolnikov, H. Mete Soner
We give a new formulation of the relative arbitrage problem from stochastic portfolio theory that asks for a time horizon beyond which arbitrage relative to the market exists in al…
Construction of Forward Performance Processes in Stochastic Factor Models and an Extension of Widder's Theorem
Levon Avanesyan, Mykhaylo Shkolnikov, Ronnie Sircar
We consider the problem of optimal portfolio selection under forward investment performance criteria in an incomplete market. Given multiple traded assets, the prices of which depe…
Asymptotic analysis of forward performance processes in incomplete markets and their ill-posed HJB equations
Mykhaylo Shkolnikov, Ronnie Sircar, Thaleia Zariphopoulou
We consider the problem of optimal portfolio selection under forward investment performance criteria in an incomplete market. The dynamics of the prices of the traded assets depend…