Mikhail Zhitlukhin

Steklov Mathematical Institute

Gubkina St. 8

Moscow, 119991

Russia

SCHOLARLY PAPERS

4

DOWNLOADS

342

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

Land and Stock Bubbles, Crashes and Exit Strategies In Japan Circa 1990 and in 2013

Number of pages: 57 Posted: 28 Oct 2013
A.N. Shiryaev, Mikhail Zhitlukhin and William T. Ziemba
Steklov Mathematical Institute, Steklov Mathematical Institute and University of British Columbia (UBC) - Sauder School of Business
Downloads 185 (163,111)

Abstract:

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bubble, disorder model, change point detection, bond-stock model, Nikkei Stock Average, golf course membership index

2.

A Monotone Performance Measure Based on the Sharpe Ratio

Number of pages: 11 Posted: 15 May 2015
Mikhail Zhitlukhin
Steklov Mathematical Institute
Downloads 110 (248,325)

Abstract:

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Sharpe ratio, second-order stochastic dominance

3.

Von Neumann-Gale Model, Market Frictions, and Capital Growth

Number of pages: 40 Posted: 15 Jan 2019
University of Manchester, Faculty of Humanities, School of Social Sciences, Department of Economics, Students, University of Manchester - Economics, School of Social Sciences, University of Manchester - Department of Economics and Steklov Mathematical Institute
Downloads 47 (398,735)

Abstract:

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capital growth theory, transaction costs, benchmark strategies, numeraire portfolios, random dynamical systems, convex multivalued operators, von Neumann-Gale dynamical systems, rapid paths

4.

When to Sell Apple and the NASDAQ? Trading Bubbles with a Stochastic Disorder Model

Posted: 21 May 2019
A.N. Shiryaev, Mikhail Zhitlukhin and William T. Ziemba
Steklov Mathematical Institute, Steklov Mathematical Institute and University of British Columbia (UBC) - Sauder School of Business

Abstract:

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bubbles, Soros trading, Apple Computer Inc., NASDAQ 100