20 citations · 57 across the 19 of their papers we have counts for
6 papers · 1 filter
Representation of forward performance criteria with random endowment via FBSDE and its application to forward optimized certainty equivalent
Gechun Liang, Yifan Sun, Thaleia Zariphopoulou
We extend the notion of forward performance criteria to settings with random endowment in incomplete markets. Building on these results, we introduce and develop the novel concept…
Competition in Fund Management and Forward Relative Performance Criteria
Michail Anthropelos, Tianran Geng, Thaleia Zariphopoulou
In an Ito-diffusion market, two fund managers trade under relative performance concerns. For both the asset specialization and diversification settings, we analyze the passive and…
Personalized Robo-Advising: Enhancing Investment through Client Interaction
Agostino Capponi, Sveinn Olafsson, Thaleia Zariphopoulou
Automated investment managers, or robo-advisors, have emerged as an alternative to traditional financial advisors. The viability of robo-advisors crucially depends on their ability…
Optimal contract for a fund manager, with capital injections and endogenous trading constraints
Sergey Nadtochiy, Thaleia Zariphopoulou
In this paper, we construct a solution to the optimal contract problem for delegated portfolio management of the fist-best (risk-sharing) type. The novelty of our result is (i) in…
On the Black's equation for the risk tolerance function
Sigrid Källblad, Thaleia Zariphopoulou
We analyze a nonlinear equation proposed by F. Black (1968) for the optimal portfolio function in a log-normal model. We cast it in terms of the risk tolerance function and provide…
Time--consistent investment under model uncertainty: the robust forward criteria
Sigrid Kallblad, Jan Obloj, Thaleia Zariphopoulou
We combine forward investment performance processes and ambiguity averse portfolio selection. We introduce the notion of robust forward criteria which addresses the issues of ambig…