Details about Sergei Isaenko

Access statistics for papers by Sergei Isaenko.

Last updated 2017-03-11. Update your information in the RePEc Author Service.

Short-id: pis33

Journal Articles

2015

1. Equilibrium theory of stock market crashes
   Journal of Economic Dynamics and Control, 2015, 60, (C), 73-94 View citations (2)
2. Liquidity premium in the presence of stock market crises and background risk
   Quantitative Finance, 2015, 15, (1), 79-90 View citations (1)

2010

3. Portfolio choice under transitory price impact
   Journal of Economic Dynamics and Control, 2010, 34, (11), 2375-2389 View citations (7)

2008

4. On the super-replicating approach when trading a derivative is limited
   Quantitative Finance, 2008, 8, (3), 285-297
5. Optimal Dynamic Trading Strategies with Risk Limits
   Operations Research, 2008, 56, (2), 358-368 View citations (38)
6. The term structure of interest rates in a pure exchange economy where investors have heterogeneous recursive preferences
   The Quarterly Review of Economics and Finance, 2008, 48, (3), 457-481 View citations (9)

2007

7. Dynamic Equilibrium with Overpriced Put Options
   Economic Notes, 2007, 36, (1), 1-26 View citations (1)