3 papers
q-fin.PM2026
Goal-based portfolio selection with mental accounting
Erhan Bayraktar, Bingyan Han
We present a continuous-time portfolio selection framework that reflects goal-based investment principles and mental accounting behavior. In this framework, an investor with multip…
q-fin.MF2026
The McCormick martingale optimal transport
Erhan Bayraktar, Bingyan Han, Dominykas Norgilas
Martingale optimal transport (MOT) often yields broad price bounds for options, constraining their practical applicability. In this study, we extend MOT by incorporating causality…
math.OC2025
Goal-based portfolio selection with fixed transaction costs
Erhan Bayraktar, Bingyan Han, Jingjie Zhang
We study a goal-based portfolio selection problem in which an investor aims to meet multiple financial goals, each with a specific deadline and target amount. Trading the stock inc…