Mikhail Zhitlukhin

Steklov Mathematical Institute

Gubkina St. 8

Moscow, 119991

Russia

  • Steklov Mathematical Institute

SCHOLARLY PAPERS

5

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815

SSRN CITATIONS

3

CROSSREF CITATIONS

0

Scholarly Papers (5)

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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 325 (179,305)
Citation 1

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

2.

Behavioral Finance through the Lens of Evolution: "Survival of the Fittest" for Portfolio Rules

Swiss Finance Institute Research Paper No. 23-72
Number of pages: 24 Posted: 01 Sep 2023 Last Revised: 05 Sep 2023
Igor V. Evstigneev, Thorsten Hens, Mohammad Javad Vanaei and Mikhail Zhitlukhin
University of Manchester - Economics, School of Social Sciences, University of Zurich - Department of Banking and Finance, The University of Manchester and Steklov Mathematical Institute
Downloads 182 (315,696)
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Evolutionary Finance, Behavioral Finance, Stochastic dynamic games, DSGE, Survival portfolio rules

3.

A Monotone Performance Measure Based on the Sharpe Ratio

Number of pages: 11 Posted: 15 May 2015
Mikhail Zhitlukhin
Steklov Mathematical Institute
Downloads 173 (330,302)

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Sharpe ratio, second-order stochastic dominance

4.

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

Number of pages: 40 Posted: 15 Jan 2019
Esmaeil Babaei, Igor V. Evstigneev, Klaus Reiner Schenk-Hoppé and Mikhail Zhitlukhin
University of Manchester, Faculty of Humanities, School of Social Sciences, Department of Economics, Students, University of Manchester - Economics, School of Social Sciences, The University of Manchester - Department of Economics and Steklov Mathematical Institute
Downloads 135 (405,052)
Citation 1

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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

5.

Using a Mean Changing Stochastic Processes Exit-Entry Model for Stock Market Long-Short Prediction

The Journal of Portfolio Management, November 2022, 49 (1) 172-197 DOI: 10.3905/jpm.2022.1.429
Posted: 08 Jul 2021
Sebastien Lleo, Mikhail Zhitlukhin and William T. Ziemba
NEOMA Business School, Steklov Mathematical Institute and University of British Columbia (UBC) - Sauder School of Business

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mean changing model, stochastic processes, Apple Computer stock, trend following strategies, bubble asset price exits, stock market crashes, errors in mean estimates, portfolio optimization, Covid-19 2020 era