Avanesyan, Levon; Sircar, Ronnie Power mixture forward performance processes. (English) Zbl 1500.35280 SIAM J. Financ. Math. 13, No. 3, 1040-1062 (2022). MSC: 35Q91 35K55 91G10 35J15 60H10 PDFBibTeX XMLCite \textit{L. Avanesyan} and \textit{R. Sircar}, SIAM J. Financ. Math. 13, No. 3, 1040--1062 (2022; Zbl 1500.35280) Full Text: DOI arXiv
Fouque, Jean-Pierre; Hu, Ruimeng; Sircar, Ronnie Sub- and supersolution approach to accuracy analysis of portfolio optimization asymptotics in multiscale stochastic factor markets. (English) Zbl 1483.91214 SIAM J. Financ. Math. 13, No. 1, 109-128 (2022). MSC: 91G10 93E20 60H30 35C20 PDFBibTeX XMLCite \textit{J.-P. Fouque} et al., SIAM J. Financ. Math. 13, No. 1, 109--128 (2022; Zbl 1483.91214) Full Text: DOI arXiv
Avanesyan, Levon; Shkolnikov, Mykhaylo; Sircar, Ronnie Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder’s theorem. (English) Zbl 1454.35388 Finance Stoch. 24, No. 4, 981-1011 (2020). MSC: 35Q91 35K55 91G10 35J15 60H10 44A10 35R25 35P99 PDFBibTeX XMLCite \textit{L. Avanesyan} et al., Finance Stoch. 24, No. 4, 981--1011 (2020; Zbl 1454.35388) Full Text: DOI arXiv
Bichuch, Maxim; Sircar, Ronnie Optimal investment with transaction costs and stochastic volatility. II: Finite horizon. (English) Zbl 1419.91578 SIAM J. Control Optim. 57, No. 1, 437-467 (2019). MSC: 91G10 60H30 PDFBibTeX XMLCite \textit{M. Bichuch} and \textit{R. Sircar}, SIAM J. Control Optim. 57, No. 1, 437--467 (2019; Zbl 1419.91578) Full Text: DOI
Agarwal, Ankush; Sircar, Ronnie Portfolio benchmarking under drawdown constraint and stochastic Sharpe ratio. (English) Zbl 1410.91406 SIAM J. Financ. Math. 9, No. 2, 435-464 (2018). MSC: 91G10 91G60 60H30 PDFBibTeX XMLCite \textit{A. Agarwal} and \textit{R. Sircar}, SIAM J. Financ. Math. 9, No. 2, 435--464 (2018; Zbl 1410.91406) Full Text: DOI arXiv
Bichuch, Maxim; Sircar, Ronnie Optimal investment with transaction costs and stochastic volatility. I: Infinite horizon. (English) Zbl 1415.91251 SIAM J. Control Optim. 55, No. 6, 3799-3832 (2017). MSC: 91G10 60H30 PDFBibTeX XMLCite \textit{M. Bichuch} and \textit{R. Sircar}, SIAM J. Control Optim. 55, No. 6, 3799--3832 (2017; Zbl 1415.91251) Full Text: DOI arXiv
Fouque, Jean-Pierre; Sircar, Ronnie; Zariphopoulou, Thaleia Portfolio optimization and stochastic volatility asymptotics. (English) Zbl 1377.91148 Math. Finance 27, No. 3, 704-745 (2017). Reviewer: Nikolaos Halidias (Athens) MSC: 91G10 60H30 91G20 93E20 PDFBibTeX XMLCite \textit{J.-P. Fouque} et al., Math. Finance 27, No. 3, 704--745 (2017; Zbl 1377.91148) Full Text: DOI
Fouque, J.-P.; Papanicolaou, A.; Sircar, R. Perturbation analysis for investment portfolios under partial information with expert opinions. (English) Zbl 1414.91337 SIAM J. Control Optim. 55, No. 3, 1534-1566 (2017). MSC: 91G10 93E11 35Q93 93C70 90C39 PDFBibTeX XMLCite \textit{J. P. Fouque} et al., SIAM J. Control Optim. 55, No. 3, 1534--1566 (2017; Zbl 1414.91337) Full Text: DOI
Shkolnikov, Mykhaylo; Sircar, Ronnie; Zariphopoulou, Thaleia Asymptotic analysis of forward performance processes in incomplete markets and their ill-posed HJB equations. (English) Zbl 1410.91430 SIAM J. Financ. Math. 7, 588-618 (2016). MSC: 91G10 93E20 60H15 90C39 PDFBibTeX XMLCite \textit{M. Shkolnikov} et al., SIAM J. Financ. Math. 7, 588--618 (2016; Zbl 1410.91430) Full Text: DOI arXiv
Lorig, Matthew; Sircar, Ronnie Portfolio optimization under local-stochastic volatility: coefficient Taylor series approximations and implied Sharpe ratio. (English) Zbl 1410.91423 SIAM J. Financ. Math. 7, 418-447 (2016). MSC: 91G10 93E20 60H30 PDFBibTeX XMLCite \textit{M. Lorig} and \textit{R. Sircar}, SIAM J. Financ. Math. 7, 418--447 (2016; Zbl 1410.91423) Full Text: DOI arXiv
Chan, Patrick; Sircar, Ronnie; Stein, Michael V. A feedback model for the financialization of commodity markets. (English) Zbl 1338.91127 SIAM J. Financ. Math. 6, 870-899 (2015). MSC: 91G10 91G80 49L20 PDFBibTeX XMLCite \textit{P. Chan} et al., SIAM J. Financ. Math. 6, 870--899 (2015; Zbl 1338.91127) Full Text: DOI
Fouque, Jean-Pierre; Papanicolaou, Andrew; Sircar, Ronnie Filtering and portfolio optimization with stochastic unobserved drift in asset returns. (English) Zbl 1321.91109 Commun. Math. Sci. 13, No. 4, 935-953 (2015). MSC: 91G10 60G35 35Q91 35C20 93E20 91G60 91G80 PDFBibTeX XMLCite \textit{J.-P. Fouque} et al., Commun. Math. Sci. 13, No. 4, 935--953 (2015; Zbl 1321.91109) Full Text: DOI
Dong, Yidong; Sircar, Ronnie Time-inconsistent portfolio investment problems. (English) Zbl 1390.91280 Crisan, Dan (ed.) et al., Stochastic analysis and applications 2014. In honour of Terry Lyons. Selected articles based on the presentations at the conference, Oxford, UK, September 23–27, 2013. Cham: Springer (ISBN 978-3-319-11291-6/hbk; 978-3-319-11292-3/ebook). Springer Proceedings in Mathematics & Statistics 100, 239-281 (2014). MSC: 91G10 60H15 93E20 PDFBibTeX XMLCite \textit{Y. Dong} and \textit{R. Sircar}, Springer Proc. Math. Stat. 100, 239--281 (2014; Zbl 1390.91280) Full Text: DOI
Toussaint, Antoine; Sircar, Ronnie A framework for dynamic hedging under convex risk measures. (English) Zbl 1246.91120 Dalang, Robert C. (ed.) et al., Seminar on stochastic analysis, random fields and applications VI. Centro Stefano Franscini, Ascona, Italy, May 19–23, 2008. Basel: Birkhäuser (ISBN 978-3-0348-0020-4/pbk; 978-3-0348-0021-1/ebook). Progress in Probability 63, 429-451 (2011). MSC: 91G10 91G20 PDFBibTeX XMLCite \textit{A. Toussaint} and \textit{R. Sircar}, Prog. Probab. 63, 429--451 (2011; Zbl 1246.91120) Full Text: DOI
İlhan, Aytaç; Jonsson, Mattias; Sircar, Ronnie Optimal static-dynamic hedges for exotic options under convex risk measures. (English) Zbl 1204.91120 Stochastic Processes Appl. 119, No. 10, 3608-3632 (2009). Reviewer: Jacek Jakubowski (Warszawa) MSC: 91G10 91G20 91B30 91G80 PDFBibTeX XMLCite \textit{A. İlhan} et al., Stochastic Processes Appl. 119, No. 10, 3608--3632 (2009; Zbl 1204.91120) Full Text: DOI
Ilhan, Aytac; Jonsson, Mattias; Sircar, Ronnie Portfolio optimization. (English) Zbl 1185.91162 Carmona, René (ed.) et al., Indifference pricing: Theory and applications. Princeton, NJ: Princeton University Press (ISBN 978-0-691-13883-1/hbk). Princeton Series in Financial Engineering, 183-210 (2009). Reviewer: Nikolaos Halidias (Athens) MSC: 91G10 91G80 PDFBibTeX XMLCite \textit{A. Ilhan} et al., in: Indifference pricing: Theory and applications. Princeton, NJ: Princeton University Press. 183--210 (2009; Zbl 1185.91162)
Ilhan, Aytaç; Jonsson, Mattias; Sircar, Ronnie Optimal investment with derivative securities. (English) Zbl 1092.91018 Finance Stoch. 9, No. 4, 585-595 (2005). Reviewer: Yuliya Mishura (Kyïv) MSC: 91B16 91G10 49N15 PDFBibTeX XMLCite \textit{A. Ilhan} et al., Finance Stoch. 9, No. 4, 585--595 (2005; Zbl 1092.91018) Full Text: DOI Link
Darius, Dries; Ilhan, Aytac; Mulvey, John; Simsek, Koray D.; Sircar, Ronnie Trend-following hedge funds and multi-period asset allocation. (English) Zbl 1405.91544 Quant. Finance 2, No. 5, 354-361 (2002). MSC: 91G10 PDFBibTeX XMLCite \textit{D. Darius} et al., Quant. Finance 2, No. 5, 354--361 (2002; Zbl 1405.91544) Full Text: DOI
Jonsson, Mattias; Sircar, Ronnie Optimal investment problems and volatility homogenization approximations. (English) Zbl 1104.91302 Bourlioux, Anne (ed.) et al., Modern methods in scientific computing and applications. Proceedings of the NATO Advanced Study Institute and Séminaire de Mathématiques Supérieures on modern methods in scientific computing and applications, Montréal, Québec, Canada, July 9–20, 2001. Dordrecht: Kluwer Academic Publishers (ISBN 1-4020-0782-5/pbk). NATO Sci. Ser. II, Math. Phys. Chem. 75, 255-281 (2002). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{M. Jonsson} and \textit{R. Sircar}, NATO Sci. Ser. II, Math. Phys. Chem. 75, 255--281 (2002; Zbl 1104.91302)