Thaleia Zariphopoulou - researchr alias

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Viewing Publication 1 - 25 from 25

2022

Entropy Regularization for Mean Field Games with LearningXin Guo 0001, Renyuan Xu, Thaleia Zariphopoulou. mor, 47(4):3239-3260, November 2022. [doi]

Competition in Fund Management and Forward Relative Performance CriteriaMichail Anthropelos, Tianran Geng, Thaleia Zariphopoulou. siamfm, 13(4):1271-1301, 2022. [doi]

Personalized Robo-Advising: Enhancing Investment Through Client InteractionAgostino Capponi, Sveinn Ólafsson, Thaleia Zariphopoulou. mansci, 68(4):2485-2512, 2022. [doi]

2020

Predictable Forward Performance Processes: The Binomial CaseBahman Angoshtari, Thaleia Zariphopoulou, Xun Yu Zhou. siamco, 58(1):327-347, 2020. [doi]

An Approximation Scheme for Semilinear Parabolic PDEs with Convex and Coercive HamiltoniansShuo Huang, Gechun Liang, Thaleia Zariphopoulou. siamco, 58(1):165-191, 2020. [doi]

Reinforcement Learning in Continuous Time and Space: A Stochastic Control ApproachHaoran Wang, Thaleia Zariphopoulou, Xun Yu Zhou. jmlr, 21, 2020. [doi]

2019

An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behaviorWing Fung Chong, Ying Hu, Gechun Liang, Thaleia Zariphopoulou. fs, 23(1):239-273, 2019. [doi]

Optimal Contract for a Fund Manager with Capital Injections and Endogenous Trading ConstraintsSergey Nadtochiy, Thaleia Zariphopoulou. siamfm, 10(3):698-722, 2019. [doi]

2018

Dynamically consistent investment under model uncertainty: the robust forward criteriaSigrid Källblad, Jan Oblój, Thaleia Zariphopoulou. fs, 22(4):879-918, 2018. [doi]

2017

Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDEGechun Liang, Thaleia Zariphopoulou. siamfm, 8(1):344-372, 2017. [doi]

2016

Asymptotic Analysis of Forward Performance Processes in Incomplete Markets and Their Ill-Posed HJB EquationsMykhaylo Shkolnikov, Ronnie Sircar, Thaleia Zariphopoulou. siamfm, 7(1):588-618, 2016. [doi]

2013

An Approximation Scheme for Solution to the Optimal Investment Problem in Incomplete MarketsSergey Nadtochiy, Thaleia Zariphopoulou. siamfm, 4(1):494-538, 2013. [doi]

2010

Portfolio Choice under Space-Time Monotone Performance CriteriaM. Musiela, Thaleia Zariphopoulou. siamfm, 1(1):326-365, 2010. [doi]

Maturity-Independent Risk MeasuresThaleia Zariphopoulou, Gordan Zitkovic. siamfm, 1(1):266-288, 2010. [doi]

2008

Maturity-independent risk measuresThaleia Zariphopoulou, Gordan Zitkovic. cdc 2008: 5596-5601 [doi]

2004

A valuation algorithm for indifference prices in incomplete marketsMarek Musiela, Thaleia Zariphopoulou. fs, 8(3):399-414, 2004. [doi]

An example of indifference prices under exponential preferencesMarek Musiela, Thaleia Zariphopoulou. fs, 8(2):229-239, 2004. [doi]

Bounds and Asymptotic Approximations for Utility Prices when Volatility is RandomRonnie Sircar, Thaleia Zariphopoulou. siamco, 43(4):1328-1353, 2004. [doi]

2003

Pricing early exercise contracts in incomplete marketsAdam M. Oberman, Thaleia Zariphopoulou. cms, 1(1):75-107, 2003. [doi]

2001

Optimal Environmental Management in the Presence of IrreversibilitiesJosé A. Scheinkman, Thaleia Zariphopoulou. jet, 96(1-2):180-207, 2001. [doi]

A solution approach to valuation with unhedgeable risksThaleia Zariphopoulou. fs, 5(1):61-82, 2001. [doi]

1999

Bounds on prices of contingent claims in an intertemporal economy with proportional transaction costs and general preferencesGeorge M. Constantinides, Thaleia Zariphopoulou. fs, 3(3):345-369, 1999. [doi]

Turnpike behavior of long-term investmentsChi-Fu Huang, Thaleia Zariphopoulou. fs, 3(1):15-34, 1999. [doi]

Optimal investment and consumption models with non-linear stock dynamicsThaleia Zariphopoulou. mmor, 50(2):271-296, 1999. [doi]

1991

An Optimal Investment/Consumption Model with BorrowingWendell H. Fleming, Thaleia Zariphopoulou. mor, 16(4):802-822, 1991. [doi]

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