Papers

1. Existence of an equilibrium with limited stock-market participation and power utilities with  P. Guasoni, and G. Leoni (2024).  Arxiv 

2. Is Kyle's equilibrium model stable?  with U. Cetin (2023). Arxiv  SSRN

3.  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

4. 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 

5. 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

6. Price impact in Nash equilibria with X. Chen, J. H. Choi, and D. J. Seppi. Finance & Stochastics  27, 305-340 (2023). SSRN  Arxiv  Slides

7. 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

8. Conditional Davis pricing with H. Mete Soner and G. Zitkovic. Finance & Stochastics  24, 565-599 (2020). SSRN Arxiv Slides

9. 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

10. 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

11. Radner equilibrium in incomplete Lévy models with T. Sae-Sue. Mathematics and Financial Economics 10, 321-337 (2016). Arxiv SSRN

12. Facelifting in utility maximization with H. Mete Soner and G. Zitkovic. Finance & Stochastics 20, 99-121 (2016). Arxiv SSRN

13. Taylor approximation of incomplete Radner equilibrium models  with J. H. Choi. Finance & Stochastics 19, 653–679 (2015). Arxiv

14. Incomplete continuous-time securities markets with stochastic income volatility with P. O. Christensen. Review of Asset Pricing Studies 4, 247-285 (2014). SSRN

15. Utility maximization under convex constraints with G. Zitkovic. Annals of Applied Probability 23, 665–692 (2013). Arxiv

16. 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

17. Horizon dependence of utility optimizers in incomplete models with H. Yu. Finance & Stochastics 16, 779-801 (2012). Arxiv

18. A note on the existence of the power investor's optimizer. Finance & Stochastics 15, 183-190 (2011).

19. Continuity of utility-maximization with respect to preferences. Mathematical Finance 19, 237-250 (2009).

20. Stability of utility-maximization in incomplete markets with G. Zitkovic. Stochastic Processes and their Applications 117, 1642-1662 (2007).

21. On the semimartingale property via bounded logarithmic utility with G. Zitkovic. Annals of Finance 4, 255-268 (2007).

22. No arbitrage and the growth optimal portfolio with M. M. Christensen. Stochastic Analysis and Applications 25, 255-280 (2007).

23. Optimal portfolio delegation when parties have different coefficients of risk aversion. Quantitative Finance 5, 503-512 (2005).

24. 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).