Research
Publications and Preprints:
Stability of utility maximization in nonequivalent markets. Finance & Stochastics 20, 511-541 (2016). arXiv
Muckenhoupt's (A_p) condition and the existence of the optimal martingale measure with Dmitry Kramkov. Stochastic Processes and their Applications 126(9), 2615-2633 (2016). arXiv
Existence of a Radner equilibrium in a model with transaction costs. Mathematics and Financial Economics 12(4), 517-539 (2018). arXiv
An incomplete equilibrium with a stochastic annuity with Gordan Zitkovic. Finance & Stochastics 24, 359–382 (2020) arXiv
Price impact equilibrium with transaction costs and TWAP trading with Eunjung Noh. Mathematics and Financial Economics 16:187–204 (2021). arXiv
Endogenous Noise Trackers in a Radner Equilibrium with Jin Hyuk Choi. SIAM Journal on Financial Mathematics 13(4), 1326-1343 (2022). arXiv
Existence of an equilibrium with limited participation. Forthcoming in Finance & Stochastics (2023). arXiv
A multi-agent targeted trading equilibrium with transaction costs with Jin Hyuk Choi and Jetlir Duraj. Forthcoming in SIAM Journal on Financial Mathematics (2023).