Ibrahim Ekren

Florida State University

1017 Academic Way,

224 LOVE Building

Tallahassee, FL 32306

United States

SCHOLARLY PAPERS

5

DOWNLOADS

689

SSRN CITATIONS

7

CROSSREF CITATIONS

3

Scholarly Papers (5)

1.

Optimal Rebalancing Frequencies for Multidimensional Portfolios

Swiss Finance Institute Research Paper No. 15-44
Number of pages: 25 Posted: 18 Oct 2015 Last Revised: 14 Sep 2017
Ibrahim Ekren, Ren Liu and Johannes Muhle-Karbe
Florida State University, ETH Zürich and Imperial College London - Department of Mathematics
Downloads 229 (238,221)
Citation 2

Abstract:

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transaction costs, optimal trading frequency, optimal investment, multiple assets

2.

Optimal Transport and Risk Aversion in Kyle's Model of Informed Trading

Number of pages: 39 Posted: 29 Jun 2020 Last Revised: 24 Sep 2021
Rice University - Jesse H. Jones Graduate School of Business, Florida State University, Florida State University and EDHEC Business School
Downloads 224 (243,340)

Abstract:

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Kyle's model, options, informed trading, optimal transport, asymmetric information, price impact, risk aversion

3.

Portfolio Choice with Small Temporary and Transient Price Impact

Number of pages: 44 Posted: 02 May 2017 Last Revised: 09 Mar 2018
Ibrahim Ekren and Johannes Muhle-Karbe
Florida State University and Imperial College London - Department of Mathematics
Downloads 96 (483,870)
Citation 2

Abstract:

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Portfolio Choice, Temporary Price Impact, Transient Price Impact, Asymptotics

4.

Liquidity in Competitive Dealer Markets

Number of pages: 29 Posted: 08 Aug 2018 Last Revised: 02 Mar 2021
Peter Bank, Ibrahim Ekren and Johannes Muhle-Karbe
Humboldt University of Berlin - Department of Mathematics, Florida State University and Imperial College London - Department of Mathematics
Downloads 91 (500,622)
Citation 3

Abstract:

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dealer market, dynamic equilibrium, endogenous liquidity

5.

Asymptotics for Small Nonlinear Price Impact: A PDE Homogenization Approach to the Multidimensional Case

To appear in Mathematical Finance.
Number of pages: 63 Posted: 02 Jan 2019 Last Revised: 24 Jun 2020
Erhan Bayraktar, Thomas Cayé and Ibrahim Ekren
University of Michigan at Ann Arbor - Department of Mathematics, Dublin City University - School of Mathematical Sciences and Florida State University
Downloads 49 (693,718)
Citation 1

Abstract:

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utility maximization, portfolio choice, non-linear price impact, asymptotic expansion, viscosity solutions, homogenization