Selected Publications for Dan Ostrov


    Financial Mathematics

  1. Sanjiv R. Das, Sukrit Mittal, Daniel Ostrov, Anand Radhakrishnan, Deep Srivastav, and Hungjen Wang, “Reinforcement learning for Multiple Goals in Goals-Based Wealth Management,” Artificial Intelligence for Business (AIxB), October 2024, pp. 1-8, doi: 10.1109/AIxB62249.2024.00007. (PDF)

  2. Sanjiv R. Das, Daniel N. Ostrov, Anand Radhakrishnan, and Deep Srivastav, “Unrealistic Expectations: The Futility Of Precisely Estimating A Stock's Expected Return,” Journal of Investment Management, 22, no. 1, 2024, pp. 58-64. (PDF)

  3. Sanjiv R. Das, Daniel N. Ostrov, Anand Radhakrishnan, and Deep Srivastav, “Lifestyle, Longevity, and Legacy Risks with Annuities in Retirement Portfolio Decumulation,” Journal of Wealth Management, 26, no. 2, Fall 2023, pp. 9-34. (Available here)

  4. Sanjiv R. Das, Daniel N. Ostrov, Anand Radhakrishnan, and Deep Srivastav, “Efficient Goal Probabilities: A New Frontier,” Journal of Investment Management, 21, no. 3, 2023, pp. 1–25. (PDF)

  5. Sanjiv R. Das, Daniel N. Ostrov, Anand Radhakrishnan, and Deep Srivastav, “Dynamic Optimization for Multi-Goals Wealth Management,” Journal of Banking and Finance, 140, July 2022, 106192, pp. 1–24. (PDF)

  6. Sanjiv R. Das, Daniel N. Ostrov, Aviva Casanova, Anand Radhakrishnan, and Deep Srivastav, “Optimal Goals-Based Investment Strategies for Switching between Bull and Bear Markets,” Journal of Wealth Management, 24, no. 4, 2022, pp. 8–36. (Available here)

  7. Sanjiv R. Das, Daniel N. Ostrov, Aviva Casanova, Anand Radhakrishnan, and Deep Srivastav, “Combining Investment and Tax Strategies for Optimizing Lifetime Solvency under Uncertain Returns and Mortality,” Journal of Risk and Financial Management, 14, 2021, no. 7, pp. 1–25. (PDF)

  8. James A. DiLellio and Daniel N. Ostrov, “Constructing Tax Efficient Withdrawal Strategies for Retirees with Traditional 401(k)/IRAs, Roth 401(k)/IRAs, and Taxable Accounts,” Financial Services Review, 28, 2020, pp. 67–95. (PDF)

  9. Sanjiv R. Das, Daniel N. Ostrov, Anand Radhakrishnan, and Deep Srivastav, “Dynamic Portfolio Allocation in Goals-Based Wealth Management,” Computational Management Science, 17, 2020, pp. 613–640. (PDF)

  10. Sanjiv R. Das, Seoyoung Kim, and Daniel N. Ostrov, “Dynamic Systemic Risk: Networks in Data Science,” The Journal of Financial Data Science, 1, no. 1, Winter 2019, pp. 141–158. (PDF)

  11. Sanjiv R. Das, Daniel N. Ostrov, Anand Radhakrishnan, and Deep Srivastav, “A New Approach To Goals-Based Wealth Management,” Journal of Investment Management, 16, no. 3, 2018, pp. 1–27. (PDF)

  12. James A. DiLellio and Daniel N. Ostrov, “Optimal Strategies for Traditional versus Roth IRA/401(k) Consumption During Retirement,” Decision Sciences, 48, 2017, pp. 356-384. (PDF)

  13. Sanjiv R. Das, Yi D. Ding, Vincent Newell, and Daniel N. Ostrov, “Efficient Trading in Taxable Portfolios,” Journal of Investment Strategies, 7, no. 1, 2017, pp. 1-40. (PDF)

  14. Jonathan Goodman and Daniel N. Ostrov, "An Option to Reduce Transaction Costs," SIAM Journal on Financial Mathematics, 2, 2011, no. 1, pp. 512-537. (PDF)

  15. Daniel N. Ostrov and Thomas G. Wong, "Optimal Asset Allocation for Passive Investing with Capital Loss Harvesting," Applied Mathematical Finance, 18, 2011, no. 4, pp. 291-329. (PDF)

  16. Jonathan Goodman and Daniel N. Ostrov, "Balancing Small Transaction Costs With Loss Of Optimal Allocation In Dynamic Stock Trading Strategies," SIAM Journal of Applied Mathematics, 70, 2010, No. 6, pp. 1977-1998. (PDF)

  17. Jonathan Goodman and Daniel N. Ostrov, "Balancing Small Transaction Costs with Loss of Optimal Allocation in Single and Multiple Stock Portfolios," Mathematics in Finance Working Paper Series, Courant Institute, 2007. (PDF)

  18. Jonathan Goodman and Daniel N. Ostrov, "On the Early Exercise Boundary of the American Put Option," SIAM Journal of Applied Mathematics, 62, 2002, no. 5, pp. 1823-1835. (PDF)


    Economics

  1. Daniel Friedman and Daniel N. Ostrov, "Evolutionary Dynamics over Continuous Action Spaces for Population Games that Arise from Symmetric Two-player Games," Journal of Economic Theory, 148, 2013, pp. 743-777. (PDF)

  2. Daniel Friedman and Daniel N. Ostrov, "Gradient Dynamics in Population Games: Some Basic Results," Journal of Mathematical Economics, 46, 2010, no. 5, pp. 691-707. (PDF)

  3. Daniel Friedman and Daniel N. Ostrov, "Conspicuous Consuption Dynamics," Games and Economic Behavior, 64, 2008, pp. 121-145. (PDF)


    Rolling Dice

  1. Shamil Asgarli, Michael Hartglass, Daniel N. Ostrov, and Byron Walden, "A Fair Shake: How Close Can The Sum Of n-Sided Dice Be To A Uniform Distribution?," to appear in the American Mathematical Monthly (PDF link), (Appendix)


    First Order Nonlinear Equations with Discontinuous Flux Behavior

  1. Daniel N. Ostrov, "Nonuniqueness for the Vanishing Viscosity Solution with Fixed Initial Condition in a Nonstrictly Hyperbolic System of Conservation Laws," Journal of Mathematical Analysis and Applications, 335, 2007, pp. 996-1012. (PDF)

  2. Daniel N. Ostrov, "Solutions of Hamilton-Jacobi Equations and Scalar Conservation Laws with Discontinuous Space-time Dependence," Journal of Differential Equations, 182, 2002, no. 1, pp. 51-77. (PDF)

  3. Daniel N. Ostrov, "Extending Viscosity Solutions to Eikonal Equations with Discontinuous Spatial Dependence," Nonlinear Analysis, Vol. 42, no. 4, Aug. 2000, pp. 709-736. (PDF)


    Shape From Shading

  1. Joseph Kain and Daniel N. Ostrov, "Numerical Shape From Shading for Discontinuous Photographic Images," International Journal of Computer Vision, 44, 2001, no. 3, pp. 163-173. (PDF)

  2. Daniel N. Ostrov, "Viscosity Solutions and Convergence of Monotone Schemes for Synthetic Aperture Radar Shape-From-Shading Equations with Discontinuous Intensities," SIAM Journal of Applied Mathematics, Vol. 59, no. 6, 1999, pp. 2060-2085. (PDF)

  3. Daniel N. Ostrov, "Boundary Conditions and Fast Algorithms for Surface Reconstructions from Synthetic Aperture Radar Data," IEEE Transactions on Geoscience and Remote Sensing, Vol. 37, no. 1, 1999, pp. 335-346. (PDF)


    Chromatography

  1. Daniel N. Ostrov, "Asymptotic Behavior of Two Interreacting Chemicals in a Chromatography Reactor," SIAM Journal of Mathematical Analysis, Vol. 27, No. 6, Nov. 1996, pp. 1559-1596. (PDF)

  2. Daniel N. Ostrov, "Boundary Conditions for Chromatography Reactors in a State of Maximum Mixedness," Quarterly of Applied Mathematics, Vol. 55, No. 3, Sept. 1996, pp. 571-582. (PDF)