Publications & Preprints

No. Author(s) Title Preprint
2013b01 Lensberg, Terje; Schenk-Hoppé, Klaus Reiner Hedging without sweat: a genetic programming approach 1305.6762 Quantitative Finance Letters, Vol. 1, Issue 1, pp. 41-46, 2013
2013b02 Ladley, Dan; Lensberg, Terje; Palczewski, Jan; Schenk-Hoppé, Klaus Reiner Fragmentation and stability of markets ssrn.2304450 Journal of Economic Behavior & Organization, Vol. 119, pp. 466–481, 2015
2013b03 De Angelis, Tiziano; Ferrari, Giorgio A stochastic partially reversible investment problem on a finite time-horizon: free-boundary analysis 1303.6189 MR3264440
2013b04 Ferrari, Giorgio On an integral equation for the free-boundary of stochastic, irreversible investment problems 1211.0412 MR3297769
2013b05 Khan, M. Ali; Rath, Kali P.; Sun, Yeneng; Yu, Haomiao Strategic uncertainty and the ex post Nash property in large games   MR3316452
2013b06 Khan, M. Ali; Schlee, Edward On Lionel McKenzie's 1957 intrusion into 20th-century demand theory ssrn.2326551 Canadian Journal of Economics, Vol. 49, Issue 2, pp. 589-636, 2016
2013b07 Khan, M. Ali; Sagara, Nobusumi The bang-bang, purification and convexity principles in infinite dimensions: additional characterizations of the saturation property   MR3275373
2013b08 Bogachev, Leonid V.; Zeindler, Dirk Asymptotic statistics of cycles in surrogate-spatial permutations 1309.7986 MR3304271
2013b09 Davis, Mark H.A.; Lleo, Sébastien Risk-sensitive investment management   Advanced Series on Statistical Science and Applied Probability: Volume 19, World Scientific, 2014
2013b10 Davis, Mark H.A.; Lleo, Sébastien Jump-diffusion asset–liability management via risk-sensitive control   MR3359059
2013b11 Lleo, Sébastien; Ziemba, William T. Does the bond-stock earning yield differential model predict equity market corrections better than high P/E models? ssrn.2296836  
2013b12 Kim, Woo Chang; Fabozzi, Frank J.; Cheridito, Patrick; Fox, Charles Controlling portfolio skewness and kurtosis without directly optimizing third and fourth moments   MR3157824
2013b13 Backhoff, Julio; Fontbona; Joaquín Robust utility maximization without model compactness 1405.0251 SIAM Journal on Financial Mathematics, Vol. 7, Issue 1, pp. 70-103, 2016
2013b14 Backhoff, Julio; Silva, Francisco Some sensitivity results in stochastic optimal control: a Lagrange multiplier point of view 1404.0586 ESAIM: Control, Optimisation, and Calculus of Variations, Vol. 23, Issue 1, pp. 39-70, 2017
2013b15 Kim, Woo Chang; Lee, Je Hyuk Characteristics of robust portfolios in a varied asset universe   Quantitative Finance Letters, Vol. 1, Issue 1, pp. 21-29, 2013
2013b16 Föllmer, Hans Spatial risk measures and their local specification: the locally law-invariant case   MR3176683
2013b17 He, Wei; Sun, Xiang On the diffuseness of incomplete information game 1307.5271 MR3269202
2013b18 Bensoussan, Alain; Frehse, Jens; Yam, Phillip Mean field games and mean field type control theory   MR3134900
2013b19 Bensoussan, Alain; Frehse, Jens; Yam, Phillip The master equation in mean field theory 1404.4150 MR3343705
2013b20 Bensoussan, Alain; Siu, Chi Chung; Yam, Sheung Chi Phillip; Yang, Hailiang A class of non-zero-sum stochastic differential investment and reinsurance games   MR3237829
2013b21 Bensoussan, Alain; Chau, Michael; Yam, Phillip Mean field games with a dominating player 1404.4148 MR3518868
2013b22 Shiryaev, A.N.; Zhitlukhin, M.V.; Ziemba, W.T. Land and stock bubbles, crashes and exit strategies In Japan circa 1990 and in 2013 ssrn.2346236 MR3378085
2013b23 De Angelis, Tiziano; Ferrari, Giorgio; Moriarty, John A non-convex singular stochastic control problem and its related optimal stopping boundaries 1405.2442 MR3345930
2013b24 Hörner, Johannes; Klein, Nicolas; Rady, Sven Strongly symmetric equilibria in bandit games pdf  
2013b25 Elmiger, Sabine Can CRRA preferences explain CAPM-anomalies in the cross-section of stock returns? ssrn.2312273  
2013b26 Palczewski, Jan; Stettner, Łukasz Infinite horizon stopping problems with (nearly) total reward criteria 1401.6905 MR3264432
2013b27 Moriarty, John; Palczewski, Jan American call options for power system balancing ssrn.2508258  
2013b28 V'yugin, Vladimir Log-optimal portfolio selection using the Blackwell approachability theorem 1410.5996  
2013b29 Lensberg, Terje; Schenk-Hoppé, Klaus Reiner; Ladley, Dan Costs and benefits of financial regulation: Short-selling bans and transaction taxes   Journal of Banking & Finance, Volume 51, February 2015
2013b30 Palczewski, Jan; Poulsen, Rolf; Schenk-Hoppé, Klaus Reiner; Wang, Huamao Dynamic portfolio optimization with transaction costs and state-dependent drift   MR3316155
2013b31 Amir, Rabah; Evstigneev, Igor V. On Zermelo's theorem 1610.07160  
2013b32 Mertikopoulos, Panayotis; Sandholm, William H. Riemannian game dynamics 1603.09173  
2013b33 Steg, Jan-Henrik Symmetric equilibria in stochastic timing games 1507.04797  
2013b34 Ziliotto, Bruno Zero-sum repeated games: counterexamples to the existence of the asymptotic value and the conjecture maxmin = lim vn 1305.4778 MR3474468
2013b35 Graewe, Paulwin; Horst, Ulrich; Qiu, Jinniao A non-Markovian liquidation problem and backward SPDEs with singular terminal conditions 1309.0461 MR3319844
2013b36 Graewe, Paulwin; Horst, Ulrich; Séré, Eric Smooth solutions to portfolio liquidation problems under price-sensitive market impact 1309.0474  
2013b37 Kwon, Joon; Mertikopoulos, Panayotis A continuous-time approach to online optimization 1401.6956  
2013b38 Mertikopoulos, Panayotis; Sandholm, William H. Learning in games via reinforcement and regularization 1407.6267 MR3544797
2013b39 Davis, Mark H.A. Verification of internal risk measure estimates 1410.4382 MR3574946
2013b40 Bravo, Mario; Mertikopoulos, Panayotis On the robustness of learning in games with stochastically perturbed payoff observations 1412.6565 Games and Economic Behavior, in press
2013b41 Belkina, Tatiana; Luo, Shangzhen Asymptotic investment behaviors under a jump-diffusion risk process 1502.02286 North American Actuarial Journal, in press