4 papers in the archive (2023–2025), average empirical rigor 1.5/10, average math complexity 8.9/10. Quadrant mix: Lab Rats ×4.
Works mostly in Stochastic Control & Optimal Stopping, Factor Investing & Asset Pricing.
Frequent co-authors: Alexandre Boistard (1), Safae Issaoui (1), Miklós Rásonyi (1), Massinissa Ferhoune (1), Johannes Wiesel (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%).
We consider an investor who, while maximizing his/her expected utility, also compares the outcome to a reference entity. We recall the notion of personal equilibrium and show that, in a multistep, generically incomplete financial market model such an equilibrium indeed exists, under appropriate tech
We investigate an expected utility maximization problem under model uncertainty in a one-period financial market. We capture model uncertainty by replacing the baseline model $\mathbb{P}$ with an adverse choice from a Wasserstein ball of radius $k$ around $\mathbb{P}$ in the space of probability mea
We study a general robust utility maximization problem in a discrete-time frictionless market. The investor is assumed to have a possibly infinite, random, nonconcave, and nondecreasing utility function defined on the whole real line. She also faces model ambiguity on her beliefs about the market, w
Drawing on set theory, this paper contributes to a deeper understanding of the structural condition of mathematical finance under Knightian uncertainty. We adopt a projective framework in which all components of the model – prices, priors and trading strategies – are treated uniformly in terms of