Post-doc
Department of Mathematics
University of Michigan
Office: 2859 East Hall
Email: bango@umich.edu
Financial and Actuarial Mathematics, Stochastic Optimization, Stochastic Analysis, Econometrics.
"Optimal investment to minimize the probability of drawdown", with Erhan Bayraktar and Virginia Young, Stochastics, 88(6):946-958, 2016.
"Minimizing the probability of lifetime drawdown under constant consumption", with Erhan Bayraktar and Virginia Young, Insurance: Mathematics and Economics, 69:210-223, 2016.
"Minimizing the expected lifetime spent in drawdown under proportional consumption", with Erhan Bayraktar and Virginia Young,
Finance Research Letters, 15:106-114, 2015.
"Stochastic modeling and methods for portfolio management in cointegrated markets", D.Phil. Thesis, University of Oxford, 2013.
"On utility of wealth maximization". M.Sc. Thesis, University of Twente, 2009.
"Predictable forward utility: the binomial case", with Thaleia Zariphopoulou and Xun Yu Zhou, under review.
"Optimal insurance to minimize the probability of ruin: inverse survival function formulation", with Virginia Young, in preparation.
"The effect of tax policy on wealth distribution in a heterogenous economy: a mean-field approach", with Erhan Bayraktar, in preparation.
"Optimal dividends under a drawdown constraint", with Erhan Bayraktar and Virginia Young, in preparation.
"Minimizing probability of ruin when claims cointegrate with the market", in preparation.
Tutor for Stochastic Control and Dynamic Asset Allocation, University of Oxford, Winter 2011.
Teaching assistant for Martingales Through Measure Theory, University of Oxford, Fall 2010.
Last updated on April 24, 2017 by Bahman Angoshtari.