Bahman Angoshtari
Bahman Angoshtari
Assistant Professor, University of Miami, Department of Mathematics
Verified email at math.miami.edu - Homepage
Title
Cited by
Cited by
Year
Minimizing the probability of lifetime drawdown under constant consumption
B Angoshtari, E Bayraktar, VR Young
Insurance: Mathematics and Economics 69, 210-223, 2016
162016
Optimal investment to minimize the probability of drawdown
B Angoshtari, E Bayraktar, VR Young
Stochastics 88 (6), 946-958, 2016
142016
Predictable forward performance processes: The binomial case
B Angoshtari, T Zariphopoulou, XY Zhou
SIAM Journal on Control and Optimization 58 (1), 327-347, 2020
132020
Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates
B Angoshtari, E Bayraktar, VR Young
SIAM Journal on Financial Mathematics 10 (2), 547-577, 2019
82019
Minimizing the expected lifetime spent in drawdown under proportional consumption
B Angoshtari, E Bayraktar, VR Young
Finance Research Letters 15, 106-114, 2015
82015
Optimal dynamic basis trading
B Angoshtari, T Leung
Annals of Finance 15 (3), 307-335, 2019
52019
On the Market-Neutrality of Optimal Pairs-Trading Strategies
B Angoshtari
arXiv preprint arXiv:1608.08268, 2016
52016
Stochastic modeling and methods for portfolio management in cointegrated markets
B Angoshtari
University of Oxford, 2014
32014
Optimal trading of a basket of futures contracts
B Angoshtari, T Leung
Annals of Finance, 1-28, 2020
22020
Optimal Consumption under a Habit-Formation Constraint
B Angoshtari, E Bayraktar, VR Young
arXiv preprint arXiv:2012.02277, 2020
12020
On utility of wealth maximization
B Angoshtari
University of Twente, 2009
12009
Optimal Insurance to Minimize the Probability of Ruin: Inverse Survival Function Formulation
B Angoshtari, VR Young
arXiv preprint arXiv:2012.03798, 2020
2020
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Articles 1–12