David Itkin's research focuses on tackling problems in mathematical finance and stochastic analysis that are high-dimensional in nature. A main application in David's research is portfolio selection, where high dimensionality is inherent due to the large number of securities available for investment. His work has contributed to the understanding of open markets (i.e. markets where assets available for investment change over time), stochastic portfolio theory and robust finance under price stability.

More recently, David has also started working on portfolio construction in the presence of price impact. A selection of probabilistic tools employed in his work are reflected stochastic differential equations, ergodic theory, stochastic control and rank-based analysis.

David holds a PhD in Mathematics from Carnegie Mellon University. Prior to joining LSE, he was a Chapman Fellow at Imperial College London.