34 citations · 150 across the 45 of their papers we have counts for
5 papers · 1 filter
Consistent Estimation of Pricing Kernels from Noisy Price Data
Vladislav Kargin
If pricing kernels are assumed non-negative then the inverse problem of finding the pricing kernel is well-posed. The constrained least squares method provides a consistent estimat…
On the Chernoff bound for efficiency of quantum hypothesis testing
Vladislav Kargin
The paper estimates the Chernoff rate for the efficiency of quantum hypothesis testing. For both joint and separable measurements, approximate bounds for the rate are given if both…
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…
Uncertainty of the Shapley Value
Vladislav Kargin
This paper introduces a measure of uncertainty in the determination of the Shapley value, illustrates it with examples, and studies some of its properties. The introduced measure o…
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…