Browsing by Author Sircar, Ronnie
Showing results 1 to 4 of 4
| Publication Date | Article Title | Author(s) |
|---|---|---|
| 2016 | Asymptotic analysis of forward performance processes in incomplete markets and their ill-posed HJB equations | Shkolnikov, Mykhaylo; Sircar, Ronnie; Zariphopoulou, Thaleia |
| 1-Jan-2015 | From Smile Asymptotics To Market Risk Measures | Sircar, Ronnie; Sturm, S |
| 1-Jan-2018 | Portfolio benchmarking under drawdown constraint and stochastic sharpe ratio | Agarwal, A; Sircar, Ronnie |
| 1-Jan-2016 | Portfolio optimization under local-stochastic volatility: Coefficient taylor series approximations and implied sharpe ratio | Lorigt, M; Sircar, Ronnie |