# Publications & Preprints

No. | Author(s) | Title | Preprint (arXiv,SSRN) |
Publication (MathSciNet) |
---|---|---|---|---|

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 20^{th}-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 | ||

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 v_{n} |
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 |