3 papers in the archive (2022–2026), average empirical rigor 3.8/10, average math complexity 8.8/10. Quadrant mix: Holy Grail ×1, Lab Rats ×2.
Works mostly in Factor Investing & Asset Pricing, Portfolio Optimization.
Frequent co-authors: Erhan Bayraktar (2), Abhishek Tilva (2), Tae Ung Gang (1).
Scores are our LLM-assisted heuristics (methodology), not peer review or citation counts. Author pages are generated from paper metadata; name variants may split one person across pages. arXiv author page →
Ordered by a blend of empirical rigor (60%) and math complexity (40%).
In this paper, we develop the theory of functional generation of portfolios in an equity market with changing dimension. By introducing dimensional jumps in the market, as well as jumps in stock capitalization between the dimensional jumps, we construct different types of self-financing stock portfo
We study finite-horizon portfolio optimization with proportional transaction costs and trading opportunities arriving at the jump times of a Cox process. Borrowing and short-selling are prohibited, while utility functions need not be concave, increasing, or differentiable. The admissible class inclu
This paper studies an equity market of stochastic dimension, where the number of assets fluctuates over time. In such a market, we develop the fundamental theorem of asset pricing, which provides the equivalence of the following statements: (i) there exists a supermartingale numéraire portfolio; (ii