Thaleia Zariphopoulou

University of Texas at Austin - Red McCombs School of Business

Austin, TX 78712

United States

SCHOLARLY PAPERS

23

DOWNLOADS
Rank 24,953

SSRN RANKINGS

Top 24,953

in Total Papers Downloads

3,057

SSRN CITATIONS
Rank 13,432

SSRN RANKINGS

Top 13,432

in Total Papers Citations

47

CROSSREF CITATIONS

40

Scholarly Papers (23)

1.

Personalized Robo-Advising: Enhancing Investment through Client Interactions

Forthcoming in Management Science
Number of pages: 54 Posted: 06 Nov 2019 Last Revised: 23 Dec 2020
Agostino Capponi, Sveinn Olafsson and Thaleia Zariphopoulou
Columbia University, Columbia University and University of Texas at Austin - Red McCombs School of Business
Downloads 694 (55,594)
Citation 5

Abstract:

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robo-advising, Fintech, portfolio choice, adaptive control, regret, human-advisor

2.

Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities

Number of pages: 38 Posted: 26 Apr 2000
George M. Constantinides and Thaleia Zariphopoulou
University of Chicago - Booth School of Business and University of Texas at Austin - Red McCombs School of Business
Downloads 334 (133,705)
Citation 6

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derivative pricing, transaction costs, multi-securities, american claims, exotic options, utility maximization, volatility smile.

3.

Forward Indifference Valuation of American Options

Stochastics: An International Journal of Probability and Stochastic Processes, 84(5-6): 741-770, 2012
Number of pages: 30 Posted: 10 Apr 2010 Last Revised: 27 Jan 2015
Tim Leung, Ronnie Sircar and Thaleia Zariphopoulou
University of Washington - Department of Applied Math, Princeton University - Department of Operations Research and Financial Engineering and University of Texas at Austin - Red McCombs School of Business
Downloads 333 (134,124)
Citation 5

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Indifference pricing, forward investment performance, American options, employee stock options, utility maximization

4.

Exploration versus Exploitation in Reinforcement Learning: A Stochastic Control Approach

Number of pages: 33 Posted: 27 Jan 2019 Last Revised: 15 Feb 2019
Haoran Wang, Thaleia Zariphopoulou and Xun Yu Zhou
Columbia University - Department of Industrial Engineering and Operations Research (IEOR), University of Texas at Austin - Red McCombs School of Business and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 257 (175,148)
Citation 4

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Reinforcement Learning, Exploration, Exploitation, Entropy Regularization, Stochastic Control, Relaxed Control, Linear-Quadratic, Gaussian

5.

Qualitative Analysis of Optimal Investment Strategies in Log-Normal Markets

Number of pages: 30 Posted: 31 Dec 2013 Last Revised: 20 Jan 2014
Sigrid Kallblad and Thaleia Zariphopoulou
Ecole Polytechnique, Paris and University of Texas at Austin - Red McCombs School of Business
Downloads 241 (186,463)
Citation 4

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Portfolio management, expected utility, risk aversion, risk tolerance

6.

Credit Derivatives and Risk Aversion

Advances in Econometrics Year: 2008, Vol. 22, pp. 275 - 291, 2008
Number of pages: 15 Posted: 04 Jul 2009
Tim Leung, Ronnie Sircar and Thaleia Zariphopoulou
University of Washington - Department of Applied Math, Princeton University - Department of Operations Research and Financial Engineering and University of Texas at Austin - Red McCombs School of Business
Downloads 221 (202,490)
Citation 1

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credit risk, utility maximization, defaultable bonds, indifference price

7.

Portfolio Optimization & Stochastic Volatility Asymptotics

Forthcoming in Mathematical Finance
Number of pages: 37 Posted: 30 Jul 2014 Last Revised: 03 Jul 2015
Jean-Pierre Fouque, Ronnie Sircar and Thaleia Zariphopoulou
University of California, Santa Barbara (UCSB) - Statistics & Applied Probablity, Princeton University - Department of Operations Research and Financial Engineering and University of Texas at Austin - Red McCombs School of Business
Downloads 171 (254,325)
Citation 9

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portfolio optimization, stochastic volatility, asymptotic analysis

8.

Entropy Regularization for Mean Field Games with Learning

Number of pages: 26 Posted: 19 Nov 2020
Xin Guo, Renyuan Xu and Thaleia Zariphopoulou
University of California, Berkeley - Department of Industrial Engineering and Operations Research, University of Southern California - Epstein Department of Industrial & Systems Engineering and University of Texas at Austin - Red McCombs School of Business
Downloads 139 (301,198)
Citation 1

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Mean field game; Multi-agent reinforcement learning; Entropy regularization; Linear-quadratic games

9.

Passive and Competitive Investment Strategies under Relative Forward Performance Criteria

Number of pages: 21 Posted: 16 Nov 2016 Last Revised: 24 Mar 2017
Tianran Geng and Thaleia Zariphopoulou
Boston Consulting Group and University of Texas at Austin - Red McCombs School of Business
Downloads 133 (315,190)

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forward performance, Nash equilibrium, competition, asset specialization, asset diversification, Ito-diffusion market

10.

Forward Rank-Dependent Performance Criteria: Time-Consistent Investment Under Probability Distortion

Number of pages: 41 Posted: 02 May 2019 Last Revised: 02 Jan 2021
Xue Dong He, Moris Simon Strub and Thaleia Zariphopoulou
The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management, Southern University of Science and Technology - School of Business and University of Texas at Austin - Red McCombs School of Business
Downloads 116 (344,274)
Citation 4

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forward criteria, rank-dependent utility, probability distortion, time-consistency, portfolio selection, inverse problems

11.

On the Optimal Wealth Process in a Log-Normal Market: Applications to Risk Management

Number of pages: 34 Posted: 30 Apr 2014 Last Revised: 31 Jul 2015
Phillip Monin and Thaleia Zariphopoulou
Board of Governors of the Federal Reserve System and University of Texas at Austin - Red McCombs School of Business
Downloads 94 (396,103)
Citation 1

Abstract:

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expected utility, Merton problem, value at risk, expected shortfall, portfolio Greeks

12.

Time-Consistent Investment Under Model Uncertainty: The Robust Forward Criteria

Number of pages: 41 Posted: 15 Nov 2013
Sigrid Källblad, Jan Obłój and Thaleia Zariphopoulou
Vienna University of Technology, University of Oxford - Mathematical Institute and University of Texas at Austin - Red McCombs School of Business
Downloads 63 (496,541)
Citation 8

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ambiguity averse portfolio selection, forward investment performance, time-consistency, robust control, model uncertainty, preferences amiguity

13.

Predictable Forward Performance Processes: The Binomial Case

Number of pages: 23 Posted: 16 Nov 2016 Last Revised: 14 Oct 2019
Bahman Angoshtari, Thaleia Zariphopoulou and Xun Yu Zhou
University of Miami - Department of Mathematics, University of Texas at Austin - Red McCombs School of Business and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 53 (538,274)
Citation 5

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Optimal investment, forward performance processes, binomial model, inverse investment problem, iterative functional equation

14.

Competition in Fund Management and Forward Relative Performance Criteria

Number of pages: 25 Posted: 07 Dec 2020
Michail Anthropelos, Tianran Geng and Thaleia Zariphopoulou
University of Piraeus - Department of Banking and Financial Management, Boston Consulting Group and University of Texas at Austin - Red McCombs School of Business
Downloads 49 (556,716)
Citation 1

Abstract:

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Competition of asset managers, Nash equilibrium

15.

Representation of Homothetic Forward Performance Processes in Stochastic Factor Models Via Ergodic and Infinite Horizon BSDE

Number of pages: 34 Posted: 17 Nov 2016
Gechun Liang and Thaleia Zariphopoulou
University of Warwick - Department of Statistics and University of Texas at Austin - Red McCombs School of Business
Downloads 42 (592,054)
Citation 6

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portfolio choice, forward performance criteria, ergodic BSDE, risk-sensitive control

16.

Temporal and Spatial Turnpike-Type Results Under Forward Time-Monotone Performance Criteria

Number of pages: 36 Posted: 12 Nov 2016 Last Revised: 07 Mar 2017
Tianran Geng and Thaleia Zariphopoulou
Boston Consulting Group and University of Texas at Austin - Red McCombs School of Business
Downloads 40 (608,509)
Citation 1

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17.

An Ergodic BSDE Approach to Forward Entropic Risk Measures: Representation and Large-Maturity Behavior

Number of pages: 34 Posted: 02 Dec 2016 Last Revised: 28 Jan 2021
Wing Fung Chong, Ying Hu, Gechun Liang and Thaleia Zariphopoulou
Heriot-Watt University - Department of Actuarial Mathematics and Statistics, Université de Rennes 1, University of Warwick - Department of Statistics and University of Texas at Austin - Red McCombs School of Business
Downloads 36 (625,672)
Citation 2

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18.

Dynamic Asset Allocation and Consumption Choice in Incomplete Markets

Australian Economic Papers, Vol. 44, No. 4, pp. 414-454, December 2005
Number of pages: 41 Posted: 07 Jan 2006
Sashas F. Stoikov and Thaleia Zariphopoulou
University of Texas at Austin - Red McCombs School of Business and University of Texas at Austin - Red McCombs School of Business
Downloads 28 (677,717)

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19.

Portfolio Optimization and Stochastic Volatility Asymptotics

Mathematical Finance, Vol. 27, Issue 3, pp. 704-745, 2017
Number of pages: 42 Posted: 15 Jun 2017
Jean‐Pierre Fouque, Ronnie Sircar and Thaleia Zariphopoulou
University of California, Santa Barbara (UCSB), Princeton University - Department of Operations Research and Financial Engineering and University of Texas at Austin - Red McCombs School of Business
Downloads 11 (823,842)
Citation 14

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portfolio optimization, asymptotic analysis, stochastic volatility

20.

Mean Field and N‐Agent Games for Optimal Investment Under Relative Performance Criteria

Mathematical Finance, Vol. 29, Issue 4, pp. 1003-1038, 2019
Number of pages: 36 Posted: 29 May 2020
Daniel Lacker and Thaleia Zariphopoulou
Columbia University and University of Texas at Austin - Red McCombs School of Business
Downloads 2 (927,081)
Citation 3

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21.

A Solution Approach to Valuation with Unhedgeable Risks

Posted: 27 Apr 2001
Thaleia Zariphopoulou
University of Texas at Austin - Red McCombs School of Business

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Non-traded assets, stochastic factors, unhedgeable risks, portfolio management, reduced form solutions

22.

Bounds on Prices of Contingent Claims in an Intertemporal Economy with Proportional Transaction Costs and General Preferences

Posted: 17 Aug 1999
George M. Constantinides and Thaleia Zariphopoulou
University of Chicago - Booth School of Business and University of Texas at Austin - Red McCombs School of Business

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23.

Turnpike Behavior of Long-Term Investments

Posted: 11 Dec 1998
Chi-fu Huang and Thaleia Zariphopoulou
Long Term Capital Management and University of Texas at Austin - Red McCombs School of Business

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