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Sergei Isaenko

Personal Details

First Name:Sergei
Middle Name:
Last Name:Isaenko
Suffix:
RePEc Short-ID:pis33
http://jmsb.concordia.ca/~sisaenko/

Affiliation

Department of Economics
Concordia University

Montréal, Canada
https://www.concordia.ca/artsci/economics.html
RePEc:edi:deconca (more details at EDIRC)

Research output

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Jump to: Articles

Articles

  1. Isaenko, Sergey, 2015. "Equilibrium theory of stock market crashes," Journal of Economic Dynamics and Control, Elsevier, vol. 60(C), pages 73-94.
  2. Sergey Isaenko & Rui Zhong, 2015. "Liquidity premium in the presence of stock market crises and background risk," Quantitative Finance, Taylor & Francis Journals, vol. 15(1), pages 79-90, January.
  3. Isaenko, Sergei, 2010. "Portfolio choice under transitory price impact," Journal of Economic Dynamics and Control, Elsevier, vol. 34(11), pages 2375-2389, November.
  4. Sergei Isaenko, 2008. "On the super-replicating approach when trading a derivative is limited," Quantitative Finance, Taylor & Francis Journals, vol. 8(3), pages 285-297.
  5. Domenico Cuoco & Hua He & Sergei Isaenko, 2008. "Optimal Dynamic Trading Strategies with Risk Limits," Operations Research, INFORMS, vol. 56(2), pages 358-368, April.
  6. Isaenko, Sergei, 2008. "The term structure of interest rates in a pure exchange economy where investors have heterogeneous recursive preferences," The Quarterly Review of Economics and Finance, Elsevier, vol. 48(3), pages 457-481, August.
  7. Sergey Isaenko, 2007. "Dynamic Equilibrium with Overpriced Put Options," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 36(1), pages 1-26, February.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Articles

  1. Isaenko, Sergey, 2015. "Equilibrium theory of stock market crashes," Journal of Economic Dynamics and Control, Elsevier, vol. 60(C), pages 73-94.

    Cited by:

    1. Isaenko, Sergey, 2023. "Transaction costs, frequent trading, and stock prices," Journal of Financial Markets, Elsevier, vol. 64(C).
    2. Isaenko, Sergey, 2023. "Trading strategies and the frequency of time-series," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 267-283.

  2. Sergey Isaenko & Rui Zhong, 2015. "Liquidity premium in the presence of stock market crises and background risk," Quantitative Finance, Taylor & Francis Journals, vol. 15(1), pages 79-90, January.

    Cited by:

    1. Wu, Xu & Wang, Pei-Yu & Wang, Kun, 2023. "The effect of stabilization fund to rescue stock market based on expected return-capita circulation equation," Socio-Economic Planning Sciences, Elsevier, vol. 87(PB).

  3. Isaenko, Sergei, 2010. "Portfolio choice under transitory price impact," Journal of Economic Dynamics and Control, Elsevier, vol. 34(11), pages 2375-2389, November.

    Cited by:

    1. Curatola, Giuliano, 2022. "Price impact, strategic interaction and portfolio choice," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    2. Isaenko, Sergey, 2015. "Equilibrium theory of stock market crashes," Journal of Economic Dynamics and Control, Elsevier, vol. 60(C), pages 73-94.
    3. Isaenko, Sergey, 2023. "Transaction costs, frequent trading, and stock prices," Journal of Financial Markets, Elsevier, vol. 64(C).
    4. Astrup Jensen, Bjarne & Marekwica, Marcel, 2011. "Optimal portfolio choice with wash sale constraints," Journal of Economic Dynamics and Control, Elsevier, vol. 35(11), pages 1916-1937.
    5. Du, Bian & Zhu, Hongliang & Zhao, Jingdong, 2016. "Optimal execution in high-frequency trading with Bayesian learning," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 461(C), pages 767-777.
    6. Sergey Isaenko & Rui Zhong, 2015. "Liquidity premium in the presence of stock market crises and background risk," Quantitative Finance, Taylor & Francis Journals, vol. 15(1), pages 79-90, January.
    7. Kraft, Holger & Kühn, Christoph, 2011. "Large traders and illiquid options: Hedging vs. manipulation," Journal of Economic Dynamics and Control, Elsevier, vol. 35(11), pages 1898-1915.

  4. Domenico Cuoco & Hua He & Sergei Isaenko, 2008. "Optimal Dynamic Trading Strategies with Risk Limits," Operations Research, INFORMS, vol. 56(2), pages 358-368, April.

    Cited by:

    1. Zhang, Nan & Jin, Zhuo & Li, Shuanming & Chen, Ping, 2016. "Optimal reinsurance under dynamic VaR constraint," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 232-243.
    2. Chen, An & Nguyen, Thai & Stadje, Mitja, 2018. "Optimal investment under VaR-Regulation and Minimum Insurance," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 194-209.
    3. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2012. "When more is less: Using multiple constraints to reduce tail risk," Journal of Banking & Finance, Elsevier, vol. 36(10), pages 2693-2716.
    4. Felix Fie{ss}inger & Mitja Stadje, 2024. "Mean-Variance Optimization for Participating Life Insurance Contracts," Papers 2407.11761, arXiv.org, revised Dec 2024.
    5. Traian A. Pirvu & Gordan Žitković, 2009. "Maximizing The Growth Rate Under Risk Constraints," Mathematical Finance, Wiley Blackwell, vol. 19(3), pages 423-455, July.
    6. Fangyuan Zhang, 2023. "Non-concave portfolio optimization with average value-at-risk," Mathematics and Financial Economics, Springer, volume 17, number 3, December.
    7. Zhang, Qingye & Gao, Yan, 2016. "Optimal consumption—portfolio problem with CVaR constraints," Chaos, Solitons & Fractals, Elsevier, vol. 91(C), pages 516-521.
    8. José Vicente & Aloísio Araújo, 2010. "Social Welfare Analysis in a Financial Economy with Risk Regulation," Journal of Public Economic Theory, Association for Public Economic Theory, vol. 12(3), pages 561-586, June.
    9. Fulbert, Tchana Tchana & Georges, Tsafack, 2013. "The Implications of VaR and Short-Selling Restrictions on the Portfolio Manager Performance," MPRA Paper 43797, University Library of Munich, Germany.
    10. Hugonnier, Julien & Prieto, Rodolfo, 2015. "Asset pricing with arbitrage activity," Journal of Financial Economics, Elsevier, vol. 115(2), pages 411-428.
    11. L.J. Basson & Sune Ferreira-Schenk & Zandri Dickason-Koekemoer, 2022. "Fractal Dimension Option Hedging Strategy Implementation During Turbulent Market Conditions in Developing and Developed Countries," International Journal of Economics and Financial Issues, Econjournals, vol. 12(2), pages 84-95, March.
    12. Peter Christoffersen & Jeremy Berkowitz & Denis Pelletier, 2008. "Evaluating Value-at-Risk Models with Desk-Level Data," CREATES Research Papers 2009-35, Department of Economics and Business Economics, Aarhus University.
    13. Aramonte, Sirio & Szerszeń, Paweł J., 2020. "Cross-market liquidity and dealer profitability: Evidence from the bond and CDS markets," Journal of Financial Markets, Elsevier, vol. 51(C).
    14. Ling Wang & Kexin Chen & Mei Choi Chiu & Hoi Ying Wong, 2021. "Optimal Expansion of Business Opportunity," Papers 2112.06706, arXiv.org.
    15. Priscilla Serwaa Nkyira Gambrah & Traian Adrian Pirvu, 2014. "Risk Measures and Portfolio Optimization," JRFM, MDPI, vol. 7(3), pages 1-17, September.
    16. Xue Cheng & Marina Di Giacinto & Tai-Ho Wang, 2019. "Optimal execution with dynamic risk adjustment," Papers 1901.00617, arXiv.org, revised Jul 2019.
    17. Guan, Guohui & Liang, Zongxia, 2016. "Optimal management of DC pension plan under loss aversion and Value-at-Risk constraints," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 224-237.
    18. Wang, Ling & Chen, Kexin & Chiu, Mei Choi & Wong, Hoi Ying, 2023. "Optimal expansion of business opportunity," European Journal of Operational Research, Elsevier, vol. 309(1), pages 432-445.
    19. Armstrong, John & Brigo, Damiano, 2019. "Risk managing tail-risk seekers: VaR and expected shortfall vs S-shaped utility," Journal of Banking & Finance, Elsevier, vol. 101(C), pages 122-135.
    20. An Chen & Thai Nguyen & Mitja Stadje, 2018. "Risk management with multiple VaR constraints," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 88(2), pages 297-337, October.
    21. Lioui, Abraham & Poncet, Patrice, 2013. "Optimal benchmarking for active portfolio managers," European Journal of Operational Research, Elsevier, vol. 226(2), pages 268-276.
    22. Hugonnier, Julien, 2012. "Rational asset pricing bubbles and portfolio constraints," Journal of Economic Theory, Elsevier, vol. 147(6), pages 2260-2302.
    23. Joachim Inkmann & David Blake & Zhen Shi, 2017. "Managing Financially Distressed Pension Plans In The Interest Of Beneficiaries," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(2), pages 539-565, June.
    24. Jang, Bong-Gyu & Park, Seyoung, 2016. "Ambiguity and optimal portfolio choice with Value-at-Risk constraint," Finance Research Letters, Elsevier, vol. 18(C), pages 158-176.
    25. An Chen & Mitja Stadje & Fangyuan Zhang, 2020. "On the equivalence between Value-at-Risk- and Expected Shortfall-based risk measures in non-concave optimization," Papers 2002.02229, arXiv.org, revised Jun 2022.
    26. Thai Nguyen & Mitja Stadje, 2018. "Optimal investment for participating insurance contracts under VaR-Regulation," Papers 1805.09068, arXiv.org, revised Jul 2019.
    27. Chufang Wu & Jia-Wen Gu & Wai-Ki Ching & Chi-Wing Wong, 2024. "Precommitted Strategies with Initial-Time and Intermediate-Time Value-at-Risk Constraints," Journal of Optimization Theory and Applications, Springer, vol. 203(1), pages 880-919, October.
    28. John Armstrong & Damiano Brigo & Alex S. L. Tse, 2024. "The importance of dynamic risk constraints for limited liability operators," Annals of Operations Research, Springer, vol. 336(1), pages 861-898, May.
    29. Tongyao Wang & Qitong Pan & Weiping Wu & Jianjun Gao & Ke Zhou, 2024. "Dynamic Mean–Variance Portfolio Optimization with Value-at-Risk Constraint in Continuous Time," Mathematics, MDPI, vol. 12(14), pages 1-17, July.
    30. Diana Barro & Elio Canestrelli, 2012. "Dynamic tracking error with shortfall control using stochastic programming," Working Papers 2012_18, Department of Economics, University of Venice "Ca' Foscari", revised 2012.
    31. Das, Sanjiv R. & Statman, Meir, 2013. "Options and structured products in behavioral portfolios," Journal of Economic Dynamics and Control, Elsevier, vol. 37(1), pages 137-153.
    32. Sheng-Feng Luo, 2020. "Dynamic Mean-Variance Portfolios With Risk Budget," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(01), pages 1-16, February.
    33. Chen, An & Stadje, Mitja & Zhang, Fangyuan, 2024. "On the equivalence between Value-at-Risk- and Expected Shortfall-based risk measures in non-concave optimization," Insurance: Mathematics and Economics, Elsevier, vol. 117(C), pages 114-129.
    34. Xianzhe Chen & Weidong Tian, 2014. "Optimal portfolio choice and consistent performance," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 37(2), pages 453-474, October.
    35. Hui Mi & Zuo Quan Xu & Dongfang Yang, 2023. "Optimal Management of DC Pension Plan with Inflation Risk and Tail VaR Constraint," Papers 2309.01936, arXiv.org.
    36. Redeker Imke & Wunderlich Ralf, 2018. "Portfolio optimization under dynamic risk constraints: Continuous vs. discrete time trading," Statistics & Risk Modeling, De Gruyter, vol. 35(1-2), pages 1-21, January.

  5. Isaenko, Sergei, 2008. "The term structure of interest rates in a pure exchange economy where investors have heterogeneous recursive preferences," The Quarterly Review of Economics and Finance, Elsevier, vol. 48(3), pages 457-481, August.

    Cited by:

    1. Uppal, Raman & Bhamra, Harjoat Singh, 2013. "Asset Prices with Heterogeneity in Preferences and Beliefs," CEPR Discussion Papers 9459, C.E.P.R. Discussion Papers.
    2. Richard Wallick, 2012. "Agent-based modeling, public choice, and the legacy of Gordon Tullock," Public Choice, Springer, vol. 152(1), pages 223-244, July.
    3. Roche, Hervé, 2011. "Asset prices in an exchange economy when agents have heterogeneous homothetic recursive preferences and no risk free bond is available," Journal of Economic Dynamics and Control, Elsevier, vol. 35(1), pages 80-96, January.
    4. Chabakauri, Georgy & Rytchkov, Oleg, 2021. "Asset pricing with index investing," Journal of Financial Economics, Elsevier, vol. 141(1), pages 195-216.
    5. Eric Aldrich, 2012. "Trading Volume in General Equilibrium with Complete Markets," 2012 Meeting Papers 36, Society for Economic Dynamics.
    6. Chabakauri, Georgy, 2015. "Dynamic equilibrium with rare events and heterogeneous Epstein-Zin investors," LSE Research Online Documents on Economics 60737, London School of Economics and Political Science, LSE Library.
    7. Chabakauri, Georgy, 2015. "Dynamic equilibrium with rare events and heterogeneous epstein-zin investors," LSE Research Online Documents on Economics 62003, London School of Economics and Political Science, LSE Library.
    8. Jaroslav Borovicka, 2009. "Heterogeneous beliefs under recursive preferences," 2009 Meeting Papers 892, Society for Economic Dynamics.

  6. Sergey Isaenko, 2007. "Dynamic Equilibrium with Overpriced Put Options," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 36(1), pages 1-26, February.

    Cited by:

    1. Sergei Isaenko, 2008. "On the super-replicating approach when trading a derivative is limited," Quantitative Finance, Taylor & Francis Journals, vol. 8(3), pages 285-297.

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