Papers
Existence of an equilibrium with limited stock-market participation and power utilities with P. Guasoni, and G. Leoni (2024). Arxiv
Is Kyle's equilibrium model stable? with U. Cetin. Mathematics and Financial Economics, to appear (2024). Arxiv SSRN
Learning about latent dynamic trading demand with X. Chen, J. H. Choi, and D. J. Seppi. Mathematics and Financial Economics, 16, 615-658 (2022). SSRN Arxiv Slides
Trading constraints in continuous-time Kyle models with J. H. Choi and H. Kwon. SIAM Journal on Control and Optimization, 61, 1494-1512 (2023). Arxiv
Uniqueness in Cauchy problems for diffusive real-valued strict local martingales with U. Cetin. Trans. Amer. Math. Soc. Ser. B, 10, 355-380 (2023). Arxiv Slides
Price impact in Nash equilibria with X. Chen, J. H. Choi, and D. J. Seppi. Finance & Stochastics 27, 305-340 (2023). SSRN Arxiv Slides
Equilibrium effects of intraday order-splitting benchmarks with J. H. Choi and D. J. Seppi. Mathematics and Financial Economics, 15(2), 315-352 (2021). SSRN Slides
Conditional Davis pricing with H. Mete Soner and G. Zitkovic. Finance & Stochastics 24, 565-599 (2020). SSRN Arxiv Slides
Information and trading targets in a dynamic market equilibrium with J. H. Choi and D. J. Seppi. Journal of Financial Economics 132(3), 22-49 (2019). Arxiv SSRN Code and data
An expansion in the model space in the context of utility maximization with O. Mostovyi and G. Zitkovic. Finance & Stochastics 22, 297-326 (2018). Arxiv
Radner equilibrium in incomplete Lévy models with T. Sae-Sue. Mathematics and Financial Economics 10, 321-337 (2016). Arxiv SSRN
Facelifting in utility maximization with H. Mete Soner and G. Zitkovic. Finance & Stochastics 20, 99-121 (2016). Arxiv SSRN
Taylor approximation of incomplete Radner equilibrium models with J. H. Choi. Finance & Stochastics 19, 653–679 (2015). Arxiv
Incomplete continuous-time securities markets with stochastic income volatility with P. O. Christensen. Review of Asset Pricing Studies 4, 247-285 (2014). SSRN
Utility maximization under convex constraints with G. Zitkovic. Annals of Applied Probability 23, 665–692 (2013). Arxiv
Equilibrium in securities markets with heterogeneous investors and unspanned income risk with P. O. Christensen and C. Munk. Journal of Economic Theory 147, 1035-1063 (2012). SSRN
Horizon dependence of utility optimizers in incomplete models with H. Yu. Finance & Stochastics 16, 779-801 (2012). Arxiv
A note on the existence of the power investor's optimizer. Finance & Stochastics 15, 183-190 (2011).
Continuity of utility-maximization with respect to preferences. Mathematical Finance 19, 237-250 (2009).
Stability of utility-maximization in incomplete markets with G. Zitkovic. Stochastic Processes and their Applications 117, 1642-1662 (2007).
On the semimartingale property via bounded logarithmic utility with G. Zitkovic. Annals of Finance 4, 255-268 (2007).
No arbitrage and the growth optimal portfolio with M. M. Christensen. Stochastic Analysis and Applications 25, 255-280 (2007).
Optimal portfolio delegation when parties have different coefficients of risk aversion. Quantitative Finance 5, 503-512 (2005).
Satisfying convex risk limits by trading with T. Pirvu, S. E. Shreve, and R. Tutuncu. Finance & Stochastics 9, 177-195 (2005).
Part of this material is based upon work supported by the National Science Foundation (NSF) under DMS 1411809 (2013 - 2017) and DMS 1812679 (2018 - 2021). Any opinions, findings, and conclusions or recommendations expressed in this material are those of the author(s) and do not necessarily reflect the views of the National Science Foundation (NSF).