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.
Proposes a new consumption strategy based on martingale principles.
This paper studies the properties of the optimal portfolio-consumption strategies in a {finite horizon} robust utility maximization framework with different borrowing and lending rates. In particular, we allow for constraints on both investment and consumption strategies, and model uncertainty on both drift and volatil…
Study optimal consumption and investment strategies with constraints in a market with random coefficients.
Investor optimizes investment and consumption under uncertain market conditions with constraints.
The paper analyzes investment and consumption strategies under uncertain market conditions.
A continuous-time consumption-investment model with constraint is considered for a small investor whose decisions are the consumption rate and the allocation of wealth to a risk-free and a risky asset with logarithmic Brownian motion fluctuations. The consumption rate is subject to an upper bound constraint which linea…
Study optimal investment and consumption in incomplete markets with nonlinear expectations.
Investigates optimal consumption and investment strategies with constraints in incomplete markets.
We establish when the two problems of minimizing a function of lifetime minimum wealth and of maximizing utility of lifetime consumption result in the same optimal investment strategy on a given open interval in wealth space. To answer this question, we equate the two investment strategies and show that if the indi…
The paper solves a consumption-investment problem with state-dependent lower bounds.
This paper analyzes optimal consumption strategies for loss-averse investors with multiplicative habit formation.
Modeling consumption and investment decisions with reference point and drawdown constraints.
The paper analyzes optimal consumption with past spending maximum as a reference.
Study optimal investment and consumption strategies with various transaction costs.
This paper studies robust forward investment and consumption preferences within a zero-volatility context. Different from previous works, we consider an incomplete financial market model due to general investment portfolio constraints. We provide a new PDE characterization and a novel semi-explicit saddle-point constru…
Investigates optimal consumption and investment strategies in non-Markovian markets with unbounded parameters.
Study optimal consumption and investment strategies with leverage constraints using Epstein-Zin utility.
We assume that an agent's rate of consumption is {\it ratcheted}; that is, it forms a non-decreasing process. Given the rate of consumption, we act as financial advisers and find the optimal investment strategy for the agent who wishes to minimize his probability of ruin.
We pursue an inverse approach to utility theory and consumption & investment problems. Instead of specifying an agent's utility function and deriving her actions, we assume we observe her actions (i.e. her consumption and investment strategies) and ask if it is possible to derive a utility function for which the observ…
Investment and consumption strategy optimized under uncertain conditions.
We consider an optimal consumption/investment problem to maximize expected utility from consumption. In this market model, the investor is allowed to choose a portfolio which consists of one bond, one liquid risky asset (no transaction costs) and one illiquid risky asset (proportional transaction costs). We fully chara…
We consider an optimal investment and consumption problem for a Black-Scholes financial market with stochastic volatility and unknown stock appreciation rate. The volatility parameter is driven by an external economic factor modeled as a diffusion process of Ornstein-Uhlenbeck type with unknown drift. We use the dynami…
Intertemporal model for cost-efficient consumption using copulas.
TensorOpt finds optimal parallelization strategies for DNN training.
We consider the problem of optimal consumption of multiple goods in incomplete semimartingale markets. We formulate the dual problem and identify conditions that allow for existence and uniqueness of the solution and give a characterization of the optimal consumption strategy in terms of the dual optimizer. We illustra…
Study optimal investment and consumption strategies for competitive agents with habit formation.
We consider a spread financial market defined by the multidimensional Ornstein--Uhlenbeck (OU) process. We study the optimal consumption/investment problem for logarithmic utility functions in the base of stochastic dynamical programming method. We show a special Verification Theorem for this case. We find the solution…
We consider the economic problem of optimal consumption and investment with power utility. We study the optimal strategy as the relative risk aversion tends to infinity or to one. The convergence of the optimal consumption is obtained for general semimartingale models while the convergence of the optimal trading strate…
Improved EXACT strategy reduces GNN memory consumption and runtime.
We study the utility maximization problem for power utility random fields in a semimartingale financial market, with and without intermediate consumption. The notion of an opportunity process is introduced as a reduced form of the value process of the resulting stochastic control problem. We show how the opportunity pr…
Optimal credit and consumption strategies in a switching market with default contagion.
Study optimal consumption and portfolio strategies with no-borrowing constraint in financial markets.
We constructively prove the existence of time-discrete consumption processes for stochastic money accounts that fulfill a pre-specified positively homogeneous projection property (PHPP) and let the account always be positive and exactly zero at the end. One possible example is consumption rates forming a martingale und…
This paper introduces a dual problem to study a continuous-time consumption and investment problem with incomplete markets and stochastic differential utility. For Epstein-Zin utility, duality between the primal and dual problems is established. Consequently the optimal strategy of the consumption and investment proble…
This paper considers the problem of consumption and investment in a financial market within a continuous time stochastic economy. The investor exhibits a change in the discount rate. The investment opportunities are a stock and a riskless account. The market coefficients and discount factor switch according to a finite…
Investment and consumption strategies with luxury goods for retirement age.
New model considers wealth and time affecting risk aversion in portfolio selection.
We study a robust maximization problem from terminal wealth and consumption under a convex constraints on the portfolio. We state the existence and the uniqueness of the consumption-investment strategy by studying the associated quadratic backward stochastic differential equation (BSDE in short). We characterize the op…
Paper finds a new principle for optimizing consumption and wealth using Tsallis entropy.
We investigate optimal consumption problems for a Black-Scholes market under uniform restrictions on Value-at-Risk and Expected Shortfall for logarithmic utility functions. We find the solutions in terms of a dynamic strategy in explicit form, which can be compared and interpreted. This paper continues our previous wor…
We propose a contextual-bandit approach for demand side management by offering price incentives. More precisely, a target mean consumption is set at each round and the mean consumption is modeled as a complex function of the distribution of prices sent and of some contextual variables such as the temperature, weather, …
Study optimizes insurance and investment strategies for risk-averse insurers under ambiguity.
The aim of this paper is to solve an optimal investment, consumption and life insurance problem when the investor is restricted to capital guarantee. We consider an incomplete market described by a jump-diffusion model with stochastic volatility. Using the martingale approach, we prove the existence of the optimal stra…
We study the optimal investment-consumption problem for a member of defined contribution plan during the decumulation phase. For a fixed annuitization time, to achieve higher final annuity, we consider a variable consumption rate. Moreover, to have a minimum guarantee for the final annuity, a safety level for the wealt…
Study equilibrium consumption habits in a large population using mean field games.
The classical optimal investment and consumption problem with infinite horizon is studied in the presence of transaction costs. Both proportional and fixed costs as well as general utility functions are considered. Weak dynamic programming is proved in the general setting and a comparison result for possibly discontinu…
In a collectivised pension fund, investors agree that any money remaining in the fund when they die can be shared among the survivors. We compute analytically the optimal investment-consumption strategy for a fund of identical investors with homogeneous Epstein--Zin preferences, investing in the Black--Scholes mark…
Method detects multi-timescale consumer spending patterns from receipts.