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Thaleia Zariphopoulou

Professor

Department:     Information, Risk & Operations Management

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(512) 471-7170

RLM 11.170

Xin Guo, Renyuan Xu, and Thaleia Zariphopoulou. Nov 2022. Entropy Regularization for Mean Field Games with Learning. Mathematics of Operations Research 47(4): 3239-3260.

Personalized Robo-Advising: Enhancing Investment Through Client Interaction. By: Agostino Capponi, Sveinn Ólafsson, and Thaleia Zariphopoulou. Management Science. Apr2022, Vol. 68(4): 2485-2512.

Xue Dong He, Moris S. Strub, and Thaleia Zariphopoulou. 2021. Forward Rank-dependent Performance Criteria: Time-consistent Investment under Probability Distortion. Mathematical Finance 31(2), 683-721.

 

Thaleia Zariphopoulou. 2021. In Memoriam: Mark H. A. Davis and his Contributions to Mathematical Finance. Mathematical Finance 31(4), 1099-1110.

 

Wing Fung Chong, Ying Hu, Gechun Liang, and Thaleia Zariphopoulou. 2019. An Ergodic BSDE Approach to Forward Entropic Risk Measures: Representation and Large-Maturity Behavior. Finance and Stochastics 23(1), 239-273.

 

Daniel Lacker and Thaleia Zariphopoulou. 2019. Mean Field and N-agent Games for Optimal Investment Under Relative Performance Criteria. Mathematical Finance 29(4), 1003-1038.

 

Sergey Nadtochiy and Thaleia Zariphopoulou. 2019. Optimal Contract for a Fund Manager with Capital Injections and Endogenous Trading Constraints. Siam Journal on Financial Mathematics 10(3), 698-722.

 

Sigrid Kallblad, Jan Obloj, and Thaleia Zariphopoulou. 2018. Dynamically Consistent Investment Under Model Uncertainty: The Robust Forward Criteria. Finance and Stochastics 22(4), 879-918.

 

Jean-Pierre Fouque, Ronnie Sircar, and Thaleia Zariphopoulou. 2017. Portfolio Optimization and Stochastic Volatiliy Asymptomics. Mathematical Finance 27(3), 704-745.

 

M. Musiela and Thaleia Zariphopoulou. 2011. Initial Investment Choice and Optimal Future Allocations Under Tim-Monotone Performance Criteria. International Journal of Theoretical & Applied Finance 14 (1), 61-81.

 

Ronnie Sircar and Thaleia Zariphopoulou. 2010. Utility valuation of multi-name credit derivatives and application to CDOs. Quantitative Finance 10(2), 195-208.

 

M. Musiela and Thaleia Zariphopoulou. 2009. Portfolio choice under dynamic investment performance criteria. Quantitative Finance 9 (2), 161-170.

 

Stoikov, Sasha F. and Thaleia Zariphopoulou. 2005. Dynamic asset allocation and consumption choice in incomplete markets. Australian Economic Papers 44, 414-454.

 

Marek Musiela and Thaleia Zariphopoulou. 2004. A Valuation Algorithm for Indifference Prices in Incomplete Markets. Finance and Stochastics 8, 399-414.

 

Marek Musiela and Thaleia Zariphopoulou. 2004. An Example of Indifference Prices Under Exponential Preferences. Finance and Stochastics 8, 229-239.

 

Virginia R. Young and Thaleia Zariphopoulou. 2002. Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility. Scandinavian Acturial Journal 2002, 246-279.

 

Thaleia Zariphopoulou. 2001. A Solution Approach to Valuation With Unhedgeable Risks. Finance and Stochastics 5, 61-82.

 

George M. Constantinides and Thaleia Zariphopoulou. 2001. Bounds on Derivative Prices in an Intertemporal Setting With Proportional Transaction Costs and Multiple Securities. Mathematical Finance 11, 331-346.

 

Jose A. Scheinkman and Thaleia Zariphopoulou. 2001. Optimal Environmental Management in the Presence of Irreversibilities. Journal of Economic Theory 96, 180-207.

 

Virginia R. Young and Thaleia Zariphopoulou. 2000. Computation of Distorted Probabilities for Diffusion Processes Via Stochastic Control Methods. Insurance: Mathematics and Economics 27, 1-18.

 

Christian-Ioan Tiu, Virginia R. Young, and Thaleia Zariphopoulou. 2000. On Level Curves of Value Functions in Optimization Models of Expected Utility. Mathematical Finance 10, 323-338.

 

Thaleia Zariphopoulou. 2000. Transaction Costs in Portfolio Management and Derivative Pricing. Introduction to Mathematical Finance.

 

George M. Constantinides and Thaleia Zariphopoulou. 1999. Bounds on Prices of Contingent Claims in an Intertemporal Economy With Proportional Transaction Costs and General Preferences. Finance and Stochastics 3, 345-369.

 

Thaleia Zariphopoulou. 1999. Optimal Investment and Consumption Models With Non-Linear Stock Dynamics. Mathematical Methods of Operations Research 50, 271-296.

 

Chi-fu Huang and Thaleia Zariphopoulou. 1999. Turnpike Behavior of Long-Term Investments. Finance and Stochastics 3, 15-34.

 

Jean-Luc Vila and Thaleia Zariphopoulou. 1998. Optimal Consumption and Portfolio Choice With Borrowing Constraints. Journal of Economic Theory 7, 402-431.

 

D. Duffie, W.H. Flemming, H.M. Soner, and Thaleia Zariphopoulou. 1997. Hedging in Incomplete Markets With HARA Utility. Journal of Economic Dynamics and Control 21, 753-782.

 

Agnes Tourin and Thaleia Zariphopoulou. 1995. Portfolio Selection With Transaction Costs. Progress in Probability 36, 385-391.

 

Thaleia Zariphopoulou. 1994. Consumption-Investment Models With Constraints. SIAM Journal on Control and Optimization 32, 59-85.

 

Agnes Tourin and Thaleia Zariphopoulou. 1994. Numerical Schemes for Investment Models With Singular Transactions. Computational Economics 7, 287-307.

 

M.H.A. Davis, V. Panas, and Thaleia Zariphopoulou. 1993. European Option Pricing With Transaction Costs. SIAM Journal on Control and Optimization 31, 470-493.

 

Thaleia Zariphopoulou and D. Duffie. 1993. Optimal Investment With Undiversifiable Income Risk. Mathematical Finance 3, 135-148.

 

Thaleia Zariphopoulou. 1992. Investment-Consumption Models With Transaction Fees and Markov-Chain Parameters. SIAM Journal on Control and Optimization 30, 613-636.

 

Wendell H. Fleming and Thaleia Zariphopoulou. 1991. An Optimal Investment-Consumption Model With Borrowing. Mathematics of Operations Research 16, 802-822.