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Browsing by Author Sircar, Ronnie

Showing results 1 to 4 of 4
Publication DateArticle TitleAuthor(s)
2016Asymptotic analysis of forward performance processes in incomplete markets and their ill-posed HJB equationsShkolnikov, Mykhaylo; Sircar, Ronnie; Zariphopoulou, Thaleia
1-Jan-2015From Smile Asymptotics To Market Risk MeasuresSircar, Ronnie; Sturm, S
1-Jan-2018Portfolio benchmarking under drawdown constraint and stochastic sharpe ratioAgarwal, A; Sircar, Ronnie
1-Jan-2016Portfolio optimization under local-stochastic volatility: Coefficient taylor series approximations and implied sharpe ratioLorigt, M; Sircar, Ronnie