Bahman Angoshtari

University of Miami - Department of Mathematics

Miami, FL

United States

SCHOLARLY PAPERS

8

DOWNLOADS

618

SSRN CITATIONS
Rank 40,416

SSRN RANKINGS

Top 40,416

in Total Papers Citations

11

CROSSREF CITATIONS

7

Scholarly Papers (8)

1.

Optimal Trading of a Basket of Futures Contracts

Annals of Finance, 2020
Number of pages: 29 Posted: 22 Oct 2019 Last Revised: 23 Dec 2019
Bahman Angoshtari and Tim Leung
University of Miami - Department of Mathematics and University of Washington - Department of Applied Math
Downloads 143 (243,329)
Citation 2

Abstract:

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futures, stochastic basis, Brownian bridge, utility maximization

2.

On the Market-Neutrality of Optimal Pairs-Trading Strategies

Number of pages: 14 Posted: 31 Aug 2016
Bahman Angoshtari
University of Miami - Department of Mathematics
Downloads 122 (274,909)
Citation 2

Abstract:

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optimal investment, pairs-trading, cointegration, market-neutrality, well-posedness, stochastic control

3.

Optimal Dynamic Basis Trading

Annals of Finance, 15(3):307-335, 2019.
Number of pages: 27 Posted: 10 Oct 2018 Last Revised: 13 Oct 2019
Bahman Angoshtari and Tim Leung
University of Miami - Department of Mathematics and University of Washington - Department of Applied Math
Downloads 118 (281,602)
Citation 5

Abstract:

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Futures, Stochastic Basis, Cash and Carry, Scaled Brownian Bridge, Risk Aversion

4.

Optimal Investment to Minimize the Probability of Drawdown

Stochastics, Forthcoming
Number of pages: 15 Posted: 18 Feb 2016
Bahman Angoshtari, Erhan Bayraktar and V.R. Young
University of Miami - Department of Mathematics, University of Michigan at Ann Arbor - Department of Mathematics and University of Michigan at Ann Arbor - Department of Mathematics
Downloads 112 (292,121)

Abstract:

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Optimal investment, stochastic optimal control, probability of drawdown

5.

Predictable Forward Performance Processes: The Binomial Case

Number of pages: 23 Posted: 16 Nov 2016 Last Revised: 14 Oct 2019
Bahman Angoshtari, Thaleia Zariphopoulou and Xun Yu Zhou
University of Miami - Department of Mathematics, University of Texas at Austin - Red McCombs School of Business and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 44 (484,573)
Citation 5

Abstract:

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Optimal investment, forward performance processes, binomial model, inverse investment problem, iterative functional equation

6.

Minimizing the Probability of Lifetime Drawdown Under Constant Consumption

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 26 Posted: 21 May 2016
Bahman Angoshtari, Erhan Bayraktar and V.R. Young
University of Miami - Department of Mathematics, University of Michigan at Ann Arbor - Department of Mathematics and University of Michigan at Ann Arbor - Department of Mathematics
Downloads 35 (526,176)
Citation 1

Abstract:

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Optimal investment, stochastic optimal control, probability of drawdown

7.

Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates

SIAM J. Financial Mathematics, to appear (2019)
Number of pages: 34 Posted: 11 Jul 2018 Last Revised: 27 Mar 2019
Bahman Angoshtari, Erhan Bayraktar and V.R. Young
University of Miami - Department of Mathematics, University of Michigan at Ann Arbor - Department of Mathematics and University of Michigan at Ann Arbor - Department of Mathematics
Downloads 29 (558,162)
Citation 2

Abstract:

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Optimal Dividend, Drawdown Constraint, Ratcheting, Stochastic Control, Optimal Control, Variational Inequality, Free-Boundary Problem

8.

Minimizing the Expected Lifetime Spent in Drawdown Under Proportional Consumption

Finance Research Letters, Forthcoming
Number of pages: 12 Posted: 25 Aug 2015 Last Revised: 26 Aug 2015
Bahman Angoshtari, Erhan Bayraktar and V.R. Young
University of Miami - Department of Mathematics, University of Michigan at Ann Arbor - Department of Mathematics and University of Michigan at Ann Arbor - Department of Mathematics
Downloads 15 (650,580)

Abstract:

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Drawdown, occupation time, optimal investment, stochastic control, free-boundary problem