19 citations · 23 across the 8 of their papers we have counts for
Showing 2003 · math.OCShow all
2 papers · 2 filters
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…