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.
Study on hedging with delayed strategies for exponential utility maximization.
This paper studies stability of the exponential utility maximization when there are small variations on agent's utility function. Two settings are considered. First, in a general semimartingale model where random endowments are present, a sequence of utilities defined on R converges to the exponential utility. Under a …
Study portfolio optimization with an exponential utility function and illiquid asset.
Investment strategy optimized under wealth limits for exponential utility maximization.
The paper solves a utility-based hedging problem with quadratic costs.
Closed-form optimal portfolios for exponential utility in small/large markets.
Optimal insurance policy for exponential utility maximization with convex premium calculation.
Solves utility maximization for delayed informed investors.
Study optimal strategy for maximizing exponential utility in financial market with linear price impact.
Study robust utility maximization with uncertain continuous semimartingales.
Study utility indifference pricing in a Bachelier model with small linear price impact.
Approximations to utility indifference prices are provided for a contingent claim in the large position size limit. Results are valid for general utility functions on the real line and semi-martingale models. It is shown that as the position size approaches infinity, the utility function's decay rate for large negative…
Study on price formation among investors with exponential utility and liabilities.
Optimizes portfolios with GM returns using convex optimization.
We consider the robust exponential utility maximization problem in discrete time: An investor maximizes the worst case expected exponential utility with respect to a family of nondominated probabilistic models of her endowment by dynamically investing in a financial market, and statically in available options. We show …
Unique optimal strategy identified for state-dependent risk aversion.
We consider expected utility maximisation problem for exponential Levy models and HARA utilities in presence of illiquid asset in portfolio. This illiquid asset is modelled by an option of European type on another risky asset which is correlated with the first one. Under some hypothesis on Levy processes, we give the e…
We study power utility maximization for exponential Lévy models with portfolio constraints, where utility is obtained from consumption and/or terminal wealth. For convex constraints, an explicit solution in terms of the Lévy triplet is constructed under minimal assumptions by solving the Bellman equation. We use a nove…
This paper considers exponential utility indifference pricing for a multidimensional non-traded assets model subject to inter-temporal default risk, and provides a semigroup approximation for the utility indifference price. The key tool is the splitting method, whose convergence is proved based on the Barles-Souganidis…
New algorithms optimize risk in reinforcement learning with exponential utility.
Optimal insurance and investment strategy under exponential preferences in a correlated market model.
Study of a game with multiple players and common shocks using probabilistic methods.
Study utility maximization with delayed information in continuous time Gaussian markets.
Study utility maximization with costs under uncertain models.
We consider the problem of utility maximization with exponential preferences in a market where the traded stock/risky asset price is modelled as a Lévy-driven pure jump process (i.e. the driving Lévy process has no Brownian component). In this setting, we study the terminal utility optimization problem in the presence …
Consider power utility maximization of terminal wealth in a 1-dimensional continuous-time exponential Levy model with finite time horizon. We discretize the model by restricting portfolio adjustments to an equidistant discrete time grid. Under minimal assumptions we prove convergence of the optimal discrete-time strate…
Investor maximizes utility from an unknown claim using robust optimization.
The paper studies price impacts in asset liquidation markets.
Proves new concentration inequalities for sub-gaussian and sub-exponential variables.
We study exponential Levy models with change-point which is a random variable, independent from initial Levy processes. On canonical space with initially enlarged filtration we describe all equivalent martingale measures for change-point model and we give the conditions for the existence of f-divergence minimal equival…
Improved sample complexity for identifying best policies in risk-sensitive reinforcement learning.
Utility based methods provide a very general theoretically consistent approach to pricing and hedging of securities in incomplete financial markets. Solving problems in the utility based framework typically involves dynamic programming, which in practise can be difficult to implement. This article presents a Monte Carl…
In a Markovian stochastic volatility model, we consider financial agents whose investment criteria are modelled by forward exponential performance processes. The problem of contingent claim indifference valuation is first addressed and a number of properties are proved and discussed. Special attention is given to the c…
This paper considers exponential utility indifference pricing for a multidimensional non-traded assets model, and provides two linear approximations for the utility indifference price. The key tool is a probabilistic representation for the utility indifference price by the solution of a functional differential equation…
The paper analyzes trading strategies using exponential moving averages.
Investor optimizes utility in a market with endogenous pricing.
Optimizing dividend payments for an insurance company with bounded rates.
In this paper, we study a class of quadratic Backward Stochastic Differential Equations (BSDEs) which arises naturally when studying the problem of utility maximization with portfolio constraints. We first establish existence and uniqueness results for such BSDEs and then, we give an application to the utility maximiza…
We consider utility maximization problem for semi-martingale models depending on a random factor . We reduce initial maximization problem to the conditional one, given , which we solve using dual approach. For HARA utilities we consider information quantities like Kullback-Leibler information and Hellinger inte…
New fair risk allocation method for banks.
The paper finds optimal strategies for hedging in incomplete markets using derivatives.
Investment and insurance strategy optimized under inflation using BSDEs.
Proves weak convergence equals mean convergence in GGC.
KNG mechanism provides sanitized statistical summaries with strong privacy and utility guarantees.
Consider a discrete-time infinite horizon financial market model in which the logarithm of the stock price is a time discretization of a stochastic differential equation. Under conditions different from those given in a previous paper of ours, we prove the existence of investment opportunities producing an exponentiall…
We adress the maximization problem of expected utility from terminal wealth. The special feature of this paper is that we consider a financial market where the price process of risky assets can have a default time. Using dynamic programming, we characterize the value function with a backward stochastic differential equ…
Optimizes portfolios with utility theory, diversification, and leverage.
A key issue in the estimation of energy hedges is the hedgers' attitude towards risk which is encapsulated in the form of the hedgers' utility function. However, the literature typically uses only one form of utility function such as the quadratic when estimating hedges. This paper addresses this issue by estimating an…