arXiv research

This paper deals with forward performances of HARA type. Precisely, for a market model in which stock price processes are modeled by a locally bounded $d$-dimensional semimartingale, we elaborate a complete and explicit characterization for this type of forward utilities. Furthermore, the optimal portfolios for each of…

This article is devoted to the maximisation of HARA utilities of L{é}vy switching process on finite time interval via dual method. We give the description of all f-divergence minimal martingale measures in initially enlarged filtration, the expression of their Radon-Nikodym densities involving Hellinger and Kulback-Lei…

We study an optimization problem for a portfolio with a risk-free, a liquid, and an illiquid risky asset. The illiquid risky asset is sold in an exogenous random moment with a prescribed liquidation time distribution. The investor prefers a negative or a positive exponential utility function. We prove that both cases a…

The paper analyzes how wealth affects investment strategies in incomplete markets.

The paper studies the robust maximization of utility of terminal wealth in the diffusion financial market model. The underlying model consists with risky tradable asset, whose price is described by diffusion process with misspecified trend and volatility coefficients, and non-tradable asset with a known parameter. The …

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 maximize the expected utility from terminal wealth for an HARA investor when the market price of risk is an unobservable random variable. We compute the optimal portfolio explicitly and explore the effects of learning by comparing it with the corresponding myopic policy. In particular, we show that, for a market pri…

We develop a regularity theory for extremal knots of scale invariant knot energies defined by J. O'hara in 1991. This class contains as a special case the Möbius energy. For the Möbius energy, due to the celebrated work of Freedman, He, and Wang, we have a relatively good understanding. Their approch is crucially based…

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 $A$. In this paper we formulate a coinsurance problem in the possibilistic setting defined by an expected utility operator $T$. Some properties of the optimal …

O'Hara introduced several functionals as knot energies. One of them is the Möbius energy. We know its Möbius invariance from Doyle-Schramm's cosine formula. It is also known that the Möbius energy was decomposed into three components keeping the Möbius invariance. The first component of decomposition represents the ext…

We discuss the turnpike property for optimal investment and consumption problems. We find there exists a threshold value that determines the turnpike property for investment policy. The threshold value only depends on the Sharpe ratio, the riskless interest rate and the discount rate. We show that if utilities behave a…

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 the problem of dynamically trading a futures contract and its underlying asset under a stochastic basis model. The basis evolution is modeled by a stopped scaled Brownian bridge to account for non-convergence of the basis at maturity. The optimal trading strategies are determined from a utility maximization pr…

In this short article, we extend the cosine formula for the Möbius energy to generalized O'Hara energies. The newly derived formula gives us a condition for which the right circle minimizes the energy under the length-constraint. Furthermore, it shows us how far the energy is from the Möbius invariant property.

In this article we solve the problem of maximizing the expected utility of future consumption and terminal wealth to determine the optimal pension or life-cycle fund strategy for a cohort of pension fund investors. The setup is strongly related to a DC pension plan where additionally (individual) consumption is taken i…

We prove the existence of symmetric critical torus knots for O'Hara's knot energy family $E_α$, $α\in (2,3)$ using Palais' classic principle of symmetric criticality. It turns out that in every torus knot class there are at least two smooth $E_α$-critical knots, which supports experimental observations using numerical …

We consider utility maximization problem for semi-martingale models depending on a random factor $ξ$. We reduce initial maximization problem to the conditional one, given $ξ=u$, which we solve using dual approach. For HARA utilities we consider information quantities like Kullback-Leibler information and Hellinger inte…

In this paper we study a utility maximization problem with both optimal control and optimal stopping in a finite time horizon. The value function can be characterized by a variational equation that involves a free boundary problem of a fully nonlinear partial differential equation. Using the dual control method, we der…

The aim of this paper is to study the fast computation of the lower and upper bounds on the value function for utility maximization under the Heston stochastic volatility model with general utility functions. It is well known there is a closed form solution of the HJB equation for power utility due to its homothetic pr…

We introduce a new discretization of O'Hara's Möbius energy. In contrast to the known discretizations of Simon and Kim and Kusner it is invariant under Möbius transformations of the surrounding space. The starting point for this new discretization is the cosine formula of Doyle and Schramm. We then show $Γ$-convergence…

Unified formula for optimal portfolio under piecewise hyperbolic risk aversion.

We define a new class of knot energies (known as renormalization energies) and prove that a broad class of these energies are uniquely minimized by the round circle. Most of O'Hara's knot energies belong to this class. This proves two conjectures of O'Hara and of Freedman, He, and Wang. We also find energies not minimi…

The Mutual Fund Theorem (MFT) is considered in a general semimartingale financial market S with a finite time horizon T, where agents maximize expected utility of terminal wealth. It is established that: 1) Let N be the wealth process of the numéraire portfolio (i.e. the optimal portfolio for the log utility). If any p…

Two deep learning algorithms solve utility maximisation problems in finance.

We solve robust optimization problem and show the example of the market model for which the worst case measure is not a martingale measure. In our model the instantaneous interest rate is determined by the Hull-White model and the investor employs the HARA utility to measure his satisfaction.To protect against the mode…

We consider an investor who wants to select her/his optimal consumption, investment and insurance policies. Motivated by new insurance products, we allow not only the financial marke but also the insurable loss to depend on the regime of the economy. The objective of the investor is to maximize her/his expected total d…

We prove the analyticity of smooth critical points for O'Hara's knot energies $\mathcal{E}^{α,p}$, with $p=1$ and $2<α< 3$, subject to a fixed length constraint. This implies, together with the main result in \cite{BR13}, that bounded energy critical points of $\mathcal{E}^{α,1}$ subject to a fixed length constraint ar…

In this article we study the regularity of stationary points of the knot energies $E^α$ introduced by O'Hara in the range $α\in (2,3)$. In a first step we prove that $E^α$ is $C^1$ on the set of all regular embedded closed curves belonging to $H^{(α+1)/2,2}$ and calculate its derivative. After that we use the structure…

Gradient flows for knot energies ensure long-term existence of knotted loops.

Extends wealth tax neutrality framework to stochastic volatility and non-homothetic preferences.

The second author and Hara introduced the notion of an essential tribranched surface that is a generalisation of the notion of an essential embedded surface in a 3-manifold. We show that any 3-manifold for which the fundamental group has at least rank four admits an essential tribranched surface.

This paper solves a financial portfolio selection problem in incomplete markets.

Neural networks solve variational inequalities for optimal stopping problems.

Management of the portfolios containing low liquidity assets is a tedious problem. The buyer proposes the price that can differ greatly from the paper value estimated by the seller, the seller, on the other hand, can not liquidate his portfolio instantly and waits for a more favorable offer. To minimize losses in this …

Extending Culler-Shalen theory, Hara and the second author presented a way to construct certain kinds of branched surfaces in a $3$-manifold from an ideal point of a curve in the $\operatorname{SL}_n$-character variety. There exists an essential surface in some $3$-manifold known to be not detected in the classical $\o…

We consider smooth plane curves which are convex with respect to the origin. We describe centro-affine invariants (that is, GL_+(2,R)-invariants), such as centro-affine curvature and arc length, in terms of the canonical Lorentz structure on the three dimensional space of all the ellipses centered at zero, by means of …

We generalize the notion of integral Menger curvature introduced by Gonzalez and Maddocks by decoupling the powers in the integrand. This leads to a new two-parameter family of knot energies $intM^{p,q}$. We classify finite-energy curves in terms of Sobolev-Slobodeckij spaces. Moreover, restricting to the range of para…

Management of a portfolio that includes an illiquid asset is an important problem of modern mathematical finance. One of the ways to model illiquidity among others is to build an optimization problem and assume that one of the assets in a portfolio can not be sold until a certain finite, infinite or random moment of ti…

Study provides explicit formula for complex 2D Kähler manifold quantization.

The Möbius energy, defined by O'Hara, is one of the knot energies, and named after the Möbius invariant property which was shown by Freedman-He-Wang. The energy can be decomposed into three parts, each of which is Möbius invariant, proved by Ishizeki-Nagasawa. Several discrete versions of Möbius energy, that is, corres…

A new type of knot energy is presented via real life experiments involving a thin resilient metallic tube. Knotted in different ways, the device mechanically acquires a uniquely determined (up to isometry) normal form at least when the original knot diagram has a small number of crossings, thus outperforming the famous…

Researchers create a star product on a Grassmannian with separation of variables.

The Palais-Smale condition is proven for various knot energies.

New energy model avoids self-intersections in curve optimization.

Study generalizes Möbius energy to non-smooth sets in arbitrary dimensions.

The Funk metric connects billiards, projective geometry, and convex geometry.

Stability of knots at low regularity, and symmetric critical knots for Möbius energy.

New method for fair resource allocation in AI-aware networks with unknown utility functions.