Thaleia Zariphopoulou

27 papers Journal 26Unranked 1
YearRankTypeTitle / Venue / Authors
2022 J jnl
Competition in Fund Management and Forward Relative Performance Criteria.
SIAM J. Financial Math.
Michail Anthropelos, Tianran Geng, Thaleia Zariphopoulou
2022 J jnl
Entropy Regularization for Mean Field Games with Learning.
Math. Oper. Res.
Xin Guo, Renyuan Xu, Thaleia Zariphopoulou
2022 J jnl
Personalized Robo-Advising: Enhancing Investment Through Client Interaction.
Manag. Sci.
Agostino Capponi, Sveinn Ólafsson, Thaleia Zariphopoulou
2020 J jnl
An Approximation Scheme for Semilinear Parabolic PDEs with Convex and Coercive Hamiltonians.
SIAM J. Control. Optim.
Shuo Huang, Gechun Liang, Thaleia Zariphopoulou
2020 J jnl
Entropy Regularization for Mean Field Games with Learning.
CoRR
Xin Guo, Renyuan Xu, Thaleia Zariphopoulou
2020 J jnl
Predictable Forward Performance Processes: The Binomial Case.
SIAM J. Control. Optim.
Bahman Angoshtari, Thaleia Zariphopoulou, Xun Yu Zhou
2020 J jnl
Reinforcement Learning in Continuous Time and Space: A Stochastic Control Approach.
J. Mach. Learn. Res.
Haoran Wang, Thaleia Zariphopoulou, Xun Yu Zhou
2019 J jnl
An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior.
Finance Stochastics
Wing Fung Chong, Ying Hu, Gechun Liang, Thaleia Zariphopoulou
2019 J jnl
Optimal Contract for a Fund Manager with Capital Injections and Endogenous Trading Constraints.
SIAM J. Financial Math.
Sergey Nadtochiy, Thaleia Zariphopoulou
2018 J jnl
Dynamically consistent investment under model uncertainty: the robust forward criteria.
Finance Stochastics
Sigrid Källblad, Jan Oblój, Thaleia Zariphopoulou
2018 J jnl
Exploration versus exploitation in reinforcement learning: a stochastic control approach.
CoRR
Haoran Wang, Thaleia Zariphopoulou, Xunyu Zhou
2017 J jnl
Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE.
SIAM J. Financial Math.
Gechun Liang, Thaleia Zariphopoulou
2016 J jnl
Asymptotic Analysis of Forward Performance Processes in Incomplete Markets and Their Ill-Posed HJB Equations.
SIAM J. Financial Math.
Mykhaylo Shkolnikov, Ronnie Sircar, Thaleia Zariphopoulou
2013 J jnl
An Approximation Scheme for Solution to the Optimal Investment Problem in Incomplete Markets.
SIAM J. Financial Math.
Sergey Nadtochiy, Thaleia Zariphopoulou
2010 J jnl
Maturity-Independent Risk Measures.
SIAM J. Financial Math.
Thaleia Zariphopoulou, Gordan Zitkovic
2010 J jnl
Portfolio Choice under Space-Time Monotone Performance Criteria.
SIAM J. Financial Math.
Marek Musiela, Thaleia Zariphopoulou
2008 — conf
Maturity-independent risk measures.
CDC
Thaleia Zariphopoulou, Gordan Zitkovic
2004 J jnl
A valuation algorithm for indifference prices in incomplete markets.
Finance Stochastics
Marek Musiela, Thaleia Zariphopoulou
2004 J jnl
An example of indifference prices under exponential preferences.
Finance Stochastics
Marek Musiela, Thaleia Zariphopoulou
2004 J jnl
Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random.
SIAM J. Control. Optim.
Ronnie Sircar, Thaleia Zariphopoulou
2003 J jnl
Pricing early exercise contracts in incomplete markets.
Comput. Manag. Sci.
Adam M. Oberman, Thaleia Zariphopoulou
2001 J jnl
A solution approach to valuation with unhedgeable risks.
Finance Stochastics
Thaleia Zariphopoulou
2001 J jnl
Optimal Environmental Management in the Presence of Irreversibilities.
J. Econ. Theory
José A. Scheinkman, Thaleia Zariphopoulou
1999 J jnl
Bounds on prices of contingent claims in an intertemporal economy with proportional transaction costs and general preferences.
Finance Stochastics
George M. Constantinides, Thaleia Zariphopoulou
1999 J jnl
Optimal investment and consumption models with non-linear stock dynamics.
Math. Methods Oper. Res.
Thaleia Zariphopoulou
1999 J jnl
Turnpike behavior of long-term investments.
Finance Stochastics
Chi-Fu Huang, Thaleia Zariphopoulou
1991 J jnl
An Optimal Investment/Consumption Model with Borrowing.
Math. Oper. Res.
Wendell H. Fleming, Thaleia Zariphopoulou