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math.OC2003
Optimal Asset Allocation with Asymptotic Criteria
Vladislav Kargin
Assume (1) asset returns follow a stochastic multi-factor process with time-varying conditional expectations; (2) investments are linear functions of factors. This paper calculates…
math.OC2003
Optimal Convergence Trading
Vladislav Kargin
This article examines arbitrage investment in a mispriced asset when the mispricing follows the Ornstein-Uhlenbeck process and a credit-constrained investor maximizes a generalizat…