Dr David Itkin

简介

David Itkin’s research is on mathematical finance and related areas of stochastic analysis. Within mathematical finance, his central focus is on portfolio selection in markets with frictions, high dimensionality and/or model uncertainty. His work has contributed to stochastic portfolio theory, the study of open markets (markets where investable assets change over time), robust growth maximisation in ergodic markets, and parsimonious methods for multi-asset price impact models.