From the 1 of 5 linked papers with an AI index.
5 papers
Folding representations of reflected diffusions
David Itkin, Ioannis Karatzas
The paper introduces a new method to construct diffusion processes that reflect (including obliquely) on the boundary of a regular convex domain by applying instantaneous “folding”…
Stochastic portfolio theory with price impact
David Itkin
We develop a framework for stochastic portfolio theory (SPT), which incorporates modern nonlinear price impact and impact decay models. Our main result is the derivation of the cel…
Stochastic factors can matter: improving robust growth under ergodicity
Balint Binkert, David Itkin, Paul Mangers Bastian +1
Drifts of asset returns are notoriously difficult to model accurately and, yet, trading strategies obtained from portfolio optimization are very sensitive to them. To mitigate this…
Ergodic robust maximization of asymptotic growth with stochastic factor processes
David Itkin, Benedikt Koch, Martin Larsson +1
We consider a robust asymptotic growth problem under model uncertainty in the presence of stochastic factors. We fix two inputs representing the instantaneous covariance for the as…
Consumption-Investment Problem in Rank-Based Models
David Itkin
We study a consumption-investment problem in a multi-asset market where the returns follow a generic rank-based model. Our main result derives an HJB equation with Neumann boundary…