Cycladic head, 3000-2000 BC
Research

    Research>Current projects


  • Quantitative properties of optimal portfolios in log-normal markets
    (with S. Kallblad)

  • Complete monotonicity of utility functionals and portfolio choice
    (with S. Kallblad)

  • Robustness and portfolio choice under forward investment performance criteria
    (with S. Kallblad and J. Obloj)

  • Infinitesimal mean-variance analysis: convergence and time-consistency
    (with M. Musiela and P. Vitoria)

  • Portfolio choice in cointegrated markets under forward investment performance criteria
    (with B. Angoshtari)

  • Multi-scale dynamics and time-monotone stochastic utilities
    (with J.-P. Fouque and R. Sircar)