Thaleia Zariphopoulou

University of Texas at Austin - Red McCombs School of Business

Austin, TX 78712

United States

SCHOLARLY PAPERS

20

DOWNLOADS
Rank 27,900

SSRN RANKINGS

Top 27,900

in Total Papers Downloads

1,714

SSRN CITATIONS
Rank 16,376

SSRN RANKINGS

Top 16,376

in Total Papers Citations

20

CROSSREF CITATIONS

33

Scholarly Papers (20)

1.

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

CRSP Working Paper No. 495
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 324 (95,763)
Citation 5

Abstract:

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

2.

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 309 (100,894)
Citation 2

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

3.

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 212 (148,445)
Citation 1

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credit risk, utility maximization, defaultable bonds, indifference price

4.

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 170 (181,490)
Citation 4

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Portfolio management, expected utility, risk aversion, risk tolerance

5.

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 147 (205,189)
Citation 8

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portfolio optimization, stochastic volatility, asymptotic analysis

6.

Personalized Robo-Advising: Enhancing Investment through Client Interactions

Number of pages: 60 Posted: 06 Nov 2019
Agostino Capponi, Sveinn Olafsson and Thaleia Zariphopoulou
Columbia University, Columbia University and University of Texas at Austin - Red McCombs School of Business
Downloads 120 (240,498)

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

7.

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
Government of the United States of America, Department of the Treasury, Office of Financial Research and University of Texas at Austin - Red McCombs School of Business
Downloads 72 (334,390)
Citation 1

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

8.

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 67 (347,840)

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

9.

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

Number of pages: 39 Posted: 02 May 2019
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 - Business School and University of Texas at Austin - Red McCombs School of Business
Downloads 54 (387,047)
Citation 1

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

10.

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 52 (393,569)
Citation 6

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

11.

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 39 (441,967)
Citation 2

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

12.

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 Washington, University of Texas at Austin - Red McCombs School of Business and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 37 (450,290)
Citation 3

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

13.

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

Number of pages: 34 Posted: 02 Dec 2016 Last Revised: 17 Apr 2017
Wing Fung Chong, Ying Hu, Gechun Liang and Thaleia Zariphopoulou
University of Illinois at Urbana-Champaign - Department of Mathematics, Université de Rennes 1, University of Warwick - Department of Statistics and University of Texas at Austin - Red McCombs School of Business
Downloads 28 (492,412)
Citation 2

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14.

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 28 (492,412)

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15.

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 27 (497,679)
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16.

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 25 (508,787)
Citation 2

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

17.

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 3 (649,531)
Citation 7
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portfolio optimization, asymptotic analysis, stochastic volatility

18.

A Solution Approach to Valuation with Unhedgeable Risks

Finance and Stochastics, Vol. 5 Issue 1
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

19.

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

Finance and Stochastics, Vol. 3 Iss. 3, May 1999
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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20.

Turnpike Behavior of Long-Term Investments

Finance and Stochastics, Vol. 3, Iss. 1, 1999
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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