Ibrahim Ekren

Florida State University

1017 Academic Way,

224 LOVE Building

Tallahassee, FL 32306

United States

SCHOLARLY PAPERS

5

DOWNLOADS

301

SSRN CITATIONS

5

CROSSREF CITATIONS

2

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 179 (182,385)
Citation 1

Abstract:

Loading...

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

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 63 (380,976)
Citation 2

Abstract:

Loading...

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

Portfolio Choice with Small Temporary and Transient Price Impact

Mathematical Finance, Vol. 29, Issue 4, pp. 1066-1115, 2019
Number of pages: 50 Posted: 29 May 2020
Ibrahim Ekren and Johannes Muhle‐Karbe
Florida State University and University of Michigan at Ann Arbor
Downloads 1 (736,354)
  • Add to Cart

Abstract:

Loading...

asymptotics, portfolio choice, temporary price impact, transient price impact

3.

Liquidity in Competitive Dealer Markets

Number of pages: 26 Posted: 08 Aug 2018
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 29 (509,699)
Citation 1

Abstract:

Loading...

dealer market, dynamic equilibrium, endogenous liquidity

4.

A General Solution Method for Insider Problems

Number of pages: 43 Posted: 29 Jun 2020
François Cocquemas, Ibrahim Ekren and Abraham Lioui
Florida State University, Florida State University and EDHEC Business School and Scientific Beta Research Chair
Downloads 20 (562,991)

Abstract:

Loading...

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

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 9 (636,096)
Citation 1

Abstract:

Loading...

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