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Thaleia Zariphopoulou
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2020 – today
- 2022
- [j24]Agostino Capponi
, Sveinn Ólafsson, Thaleia Zariphopoulou
Personalized Robo-Advising: Enhancing Investment Through Client Interaction. Manag. Sci. 68(4): 2485-2512 (2022) - [j23]Xin Guo
Entropy Regularization for Mean Field Games with Learning. Math. Oper. Res. 47(4): 3239-3260 (2022) - [j22]Michail Anthropelos
Competition in Fund Management and Forward Relative Performance Criteria. SIAM J. Financial Math. 13(4): 1271-1301 (2022) - 2020
- [j21]Haoran Wang, Thaleia Zariphopoulou, Xun Yu Zhou:
Reinforcement Learning in Continuous Time and Space: A Stochastic Control Approach. J. Mach. Learn. Res. 21: 198:1-198:34 (2020) - [j20]Shuo Huang, Gechun Liang
An Approximation Scheme for Semilinear Parabolic PDEs with Convex and Coercive Hamiltonians. SIAM J. Control. Optim. 58(1): 165-191 (2020) - [j19]Bahman Angoshtari
Predictable Forward Performance Processes: The Binomial Case. SIAM J. Control. Optim. 58(1): 327-347 (2020) - [i2]Xin Guo, Renyuan Xu, Thaleia Zariphopoulou:
Entropy Regularization for Mean Field Games with Learning. CoRR abs/2010.00145 (2020)
2010 – 2019
- 2019
- [j18]Wing Fung Chong
An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior. Finance Stochastics 23(1): 239-273 (2019) - [j17]Sergey Nadtochiy, Thaleia Zariphopoulou
Optimal Contract for a Fund Manager with Capital Injections and Endogenous Trading Constraints. SIAM J. Financial Math. 10(3): 698-722 (2019) - 2018
- [j16]Sigrid Källblad, Jan Oblój
Dynamically consistent investment under model uncertainty: the robust forward criteria. Finance Stochastics 22(4): 879-918 (2018) - [i1]Haoran Wang, Thaleia Zariphopoulou, Xunyu Zhou:
Exploration versus exploitation in reinforcement learning: a stochastic control approach. CoRR abs/1812.01552 (2018) - 2017
- [j15]Gechun Liang
Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE. SIAM J. Financial Math. 8(1): 344-372 (2017) - 2016
- [j14]Mykhaylo Shkolnikov, Ronnie Sircar, Thaleia Zariphopoulou
Asymptotic Analysis of Forward Performance Processes in Incomplete Markets and Their Ill-Posed HJB Equations. SIAM J. Financial Math. 7(1): 588-618 (2016) - 2013
- [j13]Sergey Nadtochiy
An Approximation Scheme for Solution to the Optimal Investment Problem in Incomplete Markets. SIAM J. Financial Math. 4(1): 494-538 (2013) - 2010
- [j12]Thaleia Zariphopoulou
Maturity-Independent Risk Measures. SIAM J. Financial Math. 1(1): 266-288 (2010) - [j11]Marek Musiela, Thaleia Zariphopoulou
Portfolio Choice under Space-Time Monotone Performance Criteria. SIAM J. Financial Math. 1(1): 326-365 (2010)
2000 – 2009
- 2008
- [c1]Thaleia Zariphopoulou, Gordan Zitkovic:
Maturity-independent risk measures. CDC 2008: 5596-5601 - 2004
- [j10]Marek Musiela, Thaleia Zariphopoulou
An example of indifference prices under exponential preferences. Finance Stochastics 8(2): 229-239 (2004) - [j9]Marek Musiela, Thaleia Zariphopoulou
A valuation algorithm for indifference prices in incomplete markets. Finance Stochastics 8(3): 399-414 (2004) - [j8]Ronnie Sircar, Thaleia Zariphopoulou
Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random. SIAM J. Control. Optim. 43(4): 1328-1353 (2004) - 2003
- [j7]Adam M. Oberman, Thaleia Zariphopoulou:
Pricing early exercise contracts in incomplete markets. Comput. Manag. Sci. 1(1): 75-107 (2003) - 2001
- [j6]Thaleia Zariphopoulou:
A solution approach to valuation with unhedgeable risks. Finance Stochastics 5(1): 61-82 (2001) - [j5]José A. Scheinkman, Thaleia Zariphopoulou
Optimal Environmental Management in the Presence of Irreversibilities. J. Econ. Theory 96(1-2): 180-207 (2001)
1990 – 1999
- 1999
- [j4]Chi-Fu Huang, Thaleia Zariphopoulou:
Turnpike behavior of long-term investments. Finance Stochastics 3(1): 15-34 (1999) - [j3]George M. Constantinides, Thaleia Zariphopoulou:
Bounds on prices of contingent claims in an intertemporal economy with proportional transaction costs and general preferences. Finance Stochastics 3(3): 345-369 (1999) - [j2]Thaleia Zariphopoulou
Optimal investment and consumption models with non-linear stock dynamics. Math. Methods Oper. Res. 50(2): 271-296 (1999) - 1991
- [j1]Wendell H. Fleming, Thaleia Zariphopoulou
An Optimal Investment/Consumption Model with Borrowing. Math. Oper. Res. 16(4): 802-822 (1991)
Coauthor Index
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