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Working Papers
  • Optimal Consumption of Multiple Goods in Incomplete Markets
  • submitted. [arXiv]

  • Sensitivity Analysis of the Utility Maximization Problem with Respect to Model Perturbations
  • with M. Sirbu, submitted. [arXiv]

  • Optimal Consumption from Investment and Labor Income in a Unifying Framework of Admissibility
  • with M. Sirbu, preprint.

Published/Accepted
  • An Expansion in the Model Space in the Context of Utility Maximization
  • with K. Larsen and G. Zitkovic, accepted in Finance and Stochastics (2017). [arXiv]

  • Optimal Investment with Intermediate Consumption under No Unbounded Profit with Bounded Risk
  • with H. Chau, A. Cosso, and C. Fontana, Journal of Applied Probability (2017), Vol. 54(3), pp. 710-719. [arXiv]

  • Utility Maximization in a Large Market
  • Mathematical Finance (2016), published online. [arXiv]

  • Optimal Investment with Intermediate Consumption and Random Endowment
  • Mathematical Finance (2017), Vol. 27(1), pp. 96-114. [arXiv]

  • Necessary and Sufficient Conditions in the Problem of Optimal Investment with Intermediate Consumption
  • Finance and Stochastics (2015), Vol. 19(1), pp. 135-159. [arXiv]

  • On the Stability of the Least Squares Monte Carlo
  • Optimization Letters (2013), Vol. 7(2), pp. 259-265. [arXiv]

  • On Maximum Speedup Ratio of Restart Algorithms Portfolios
  • with O. Prokopyev and O. Shylo, INFORMS Journal on Computing (2013) Vol. 25(2), pp. 222-229.

  • Signal Processing under Active Monitoring
  • Information Theories and Applications (2005) Vol. 12, pp. 49-56.