A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
The paper solves portfolio selection using Rényi divergence and optimization.
This note will extend the research presented in Brown & Rogers (2009) to the case of CRRA agents. We consider the model outlined in that paper in which agents had diverse beliefs about the dividends produced by a risky asset. We now assume that the agents all have CRRA utility, with some integer coefficient of relative…
Optimizes information acquisition to reduce estimation risk and maximize utility.
Study optimal investment strategies for competitive agents using Mean Field Games.
Study optimal investment and consumption strategies with various transaction costs.
The paper calculates how fast optimal investment strategies approach CRRA strategies in stochastic factor models.
Investors' strategies in a market influenced by price impact are analyzed, showing aggressive behavior when impact exceeds a critical point.
We solve a continuous-time game-theoretic problem for Kihlstrom-Mirman preferences.
This paper studies the problem of optimal investment with CRRA (constant, relative risk aversion) preferences, subject to dynamic risk constraints on trading strategies. The market model considered is continuous in time and incomplete. the prices of financial assets are modeled by Itô processes. The dynamic risk constr…
We analyze a family of portfolio management problems under relative performance criteria, for fund managers having CARA or CRRA utilities and trading in a common investment horizon in log-normal markets. We construct explicit constant equilibrium strategies for both the finite population games and the corresponding mea…
Develops first closed-form portfolio formula for GARCH spot assets.
Investigates optimal PPI strategies to reduce carbon emissions while managing financial risk.
This paper analyzes popular time-nonseparable utility functions that describe "habit formation" consumer preferences comparing current consumption with the time averaged past consumption of the same individual and "catching up with the Joneses" (CuJ) models comparing individual consumption with a cross-sectional averag…
The paper extends Merton's problem by adding benchmark tracking, finding optimal strategies.
The expected utility operators introduced in a previous paper, offer a framework for a general risk aversion theory, in which risk is modelled by a fuzzy number . In this paper we formulate a coinsurance problem in the possibilistic setting defined by an expected utility operator . Some properties of the optimal …
In this paper, we consider the problem of maximizing the expected discounted utility of dividend payments for an insurance company that controls risk exposure by purchasing proportional reinsurance. We assume the preference of the insurer is of CRRA form. By solving the corresponding Hamilton-Jacobi-Bellman equation, w…
This paper extends the classical consumption and portfolio rules model in continuous time (Merton 1969, 1971) to the framework of decision-makers with time-inconsistent preferences. The model is solved for different utility functions for both, naive and sophisticated agents, and the results are compared. In order to so…
We study optimal investment strategies that maximize expected utility from consumption and terminal wealth in a pure-jump asset price model with Markov-modulated (regime switching) jump-size distributions. We give sufficient conditions for existence of optimal policies and find closed-form expressions for the optimal v…
The paper analyzes how wealth affects investment strategies in incomplete markets.
Within the well-known framework of financial portfolio optimization, we analyze the existing relationships between the condition of arbitrage and the utility maximization in presence of \emph{insider information}. We assume that, since the initial time, the information flow is altered by adding the knowledge of an addi…
In this paper, we propose a novel investment strategy for portfolio optimization problems. The proposed strategy maximizes the expected portfolio value bounded within a targeted range, composed of a conservative lower target representing a need for capital protection and a desired upper target representing an investmen…
Study risk-constrained Kelly optimization for mutually exclusive outcomes, proving support invariance and developing a structured algorithm.
We explore martingale and convex duality techniques to study optimal investment strategies that maximize expected risk-averse utility from consumption and terminal wealth. We consider a market model with jumps driven by (multivariate) marked point processes and so-called non-linear wealth dynamics which allows to take …
The study examines Nash equilibria in utility maximization games with multiplicative performance criteria.
In this paper, we investigate the Merton portfolio management problem in the context of non-exponential discounting. This gives rise to time-inconsistency of the decision-maker. If the decision-maker at time t=0 can commit his/her successors, he/she can choose the policy that is optimal from his/her point of view, and …
Investors adjust spending based on a social norm, spending less during losses and more during gains.
Investigates optimal pension policies in PAYG systems with forward utility and ageing population.
In the presence of ambiguity on the driving force of market randomness, we consider the dynamic portfolio choice without any predetermined investment horizon. The investment criteria is formulated as a robust forward performance process, reflecting an investor's dynamic preference. We show that the market risk premium …
Investigates portfolio selection for rank-dependent utilities in incomplete markets.
We solve an optimal consumption problem with habit formation constraints.
We derive a closed form portfolio optimization rule for an investor who is diffident about mean return and volatility estimates, and has a CRRA utility. The novelty is that confidence is here represented using ellipsoidal uncertainty sets for the drift, given a volatility realization. This specification affords a simpl…
This paper formulates and studies a general continuous-time behavioral portfolio selection model under Kahneman and Tversky's (cumulative) prospect theory, featuring S-shaped utility (value) functions and probability distortions. Unlike the conventional expected utility maximization model, such a behavioral model could…
We study the problem of utility maximization from terminal wealth in which an agent optimally builds her portfolio by investing in a bond and a risky asset. The asset price dynamics follow a diffusion process with regime-switching coefficients modeled by a continuous-time finite-state Markov chain. We consider an inves…
We develop a dual-control method for approximating investment strategies in incomplete environments that emerge from the presence of trading constraints. Convex duality enables the approximate technology to generate lower and upper bounds on the optimal value function. The mechanism rests on closed-form expressions per…
A method for dynamic portfolio choice with uncertain parameters using Pontryagin projection.
We study a portfolio optimization problem for competitive agents with CRRA utilities and a common finite time horizon. The utility of an agent depends not only on her absolute wealth and consumption but also on her relative wealth and consumption when compared to the averages among the other agents. We derive a closed …
The paper solves portfolio optimization problems with risk constraints.
We consider the problem of optimal investment in a market with two cointegrated stocks and an agent with CRRA utility. We extend the findings of Liu and Timmermann [The Review of Financial Studies, 26(4):1048-1086, 2013] by paying special attention to when/if the associated stochastic control problem is well-posed and …
Extends wealth tax neutrality framework to stochastic volatility and non-homothetic preferences.
Introduces RPU to explain randomization preference in dynamic settings.
We consider an optimal investment and consumption problem for a Black-Scholes financial market with stochastic coefficients driven by a diffusion process. We assume that an agent makes consumption and investment decisions based on CRRA utility functions. The dynamical programming approach leads to an investigation of t…
Study analyzes prediction market convergence and pricing mechanisms.
We consider an illiquid financial market with different regimes modeled by a continuous-time finite-state Markov chain. The investor can trade a stock only at the discrete arrival times of a Cox process with intensity depending on the market regime. Moreover, the risky asset price is subject to liquidity shocks, which …
We study a continuous-time asset-allocation problem for an insurance firm that backs up liabilities from multiple non-life business lines with underwriting profits and investment income. The insurance risks are captured via a multidimensional jump-diffusion process with a multivariate compound Poisson process with depe…
This paper solves optimal consumption-investment choices with wealth-driven risk aversion using neural networks.
In this article we study a multi-asset version of the Merton investment and consumption problem with proportional transaction costs. In general it is difficult to make analytical progress towards a solution in such problems, but we specialise to a case where transaction costs are zero except for sales and purchases of …
Investment strategy in uncertain markets improved by learning and risk-ambiguity preferences.
Solves Merton's investment-consumption problem with certainty equivalent approach.