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.
Closed-form optimal portfolios for exponential utility in small/large markets.
Study solves utility maximization in a transient price impact market.
Investor optimizes utility in a market with endogenous pricing.
Study optimal investment and consumption in incomplete markets with nonlinear expectations.
The paper examines utility maximization in markets with hidden Gaussian drift, finding restrictions on model parameters.
Investor optimizes investment strategy under model uncertainty and random utility.
Prediction markets show considerable promise for developing flexible mechanisms for machine learning. Here, machine learning markets for multivariate systems are defined, and a utility-based framework is established for their analysis. This differs from the usual approach of defining static betting functions. It is sho…
New game theory approach to bond market liquidity and participant behavior.
This research improves DeFi interest rates using a PID control system.
We introduce a class of utility-based market makers that always accept orders at their risk-neutral prices. We derive necessary and sufficient conditions for such market makers to have bounded loss. We prove that hyperbolic absolute risk aversion utility market makers are equivalent to weighted pseudospherical scoring …
Stability of the utility maximization problem with random endowment and indifference prices is studied for a sequence of financial markets in an incomplete Brownian setting. Our novelty lies in the nonequivalence of markets, in which the volatility of asset prices (as well as the drift) varies. Degeneracies arise from …
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…
Study analyzes prediction market convergence and pricing mechanisms.
In the large financial market, which is described by a model with countably many traded assets, we formulate the problem of the expected utility maximization. Assuming that the preferences of an economic agent are modeled with a stochastic utility and that the consumption occurs according to a stochastic clock, we obta…
In this article we consider an optimization problem of expected utility maximization of continuous-time trading in a financial market. This trading is constrained by a benchmark for a utility-based shortfall risk measure. The market consists of one asset whose price process is modeled by a Geometric Brownian motion whe…
BESS shows potential in European markets for frequency support, but not for energy arbitrage.
Econometrics is based on the nonempiric notion of utility. Prices, dynamics, and market equilibria are supposed to be derived from utility. Utility is usually treated by economists as a price potential, other times utility rates are treated as Lagrangians. Assumptions of integrability of Lagrangians and dynamics are im…
The paper studies price impacts in asset liquidation markets.
We consider market players with tail-risk-seeking behaviour as exemplified by the S-shaped utility introduced by Kahneman and Tversky. We argue that risk measures such as value at risk (VaR) and expected shortfall (ES) are ineffective in constraining such players. We show that, in many standard market models, product d…
Investigates portfolio selection for rank-dependent utilities in incomplete markets.
Study on robust utility maximization with nonconcave utility functions under projective determinacy.
We consider a continuous-time market with proportional transaction costs. Under appropriate assumptions we prove the existence of optimal strategies for investors who maximize their worst-case utility over a class of possible models. We consider utility functions defined either on the positive axis or on the whole real…
We study arbitrage opportunities, market viability and utility maximization in market models with an insider. Assuming that an economic agent possesses from the beginning an additional information in the form of a random variable G, which only becomes known to the ordinary agents at date T, we give criteria for the No …
We study a robust stochastic optimization problem in the quasi-sure setting in discrete-time. We show that under a lineality-type condition the problem admits a maximizer. This condition is implied by the no-arbitrage condition in models of financial markets. As a corollary, we obtain existence of an utility maximizer …
The paper analyzes how wealth affects investment strategies in incomplete markets.
Deep Q-Learning optimizes market making by balancing price risk and spread profits.
Research optimizes a small RES utility's portfolio by dynamically trading in German electricity markets.
GAN approach optimizes investment under market uncertainty.
Study optimal control strategy for hedge funds managers with PSAHARA utility family.
We develop a single-period model for a large economic agent who trades with market makers at their utility indifference prices. A key role is played by a pair of conjugate saddle functions associated with the description of Pareto optimal allocations in terms of the utility function of a representative market maker.
We consider a discrete-time financial market model with finite time horizon and give conditions which guarantee the existence of an optimal strategy for the problem of maximizing expected terminal utility. Equivalent martingale measures are constructed using optimal strategies.
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 …
The paper confirms a conjecture about optimal expected utility in markets with insider information.
The effectiveness of utility-maximization techniques for portfolio management relies on our ability to estimate correctly the parameters of the dynamics of the underlying financial assets. In the setting of complete or incomplete financial markets, we investigate whether small perturbations of the market coefficient pr…
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…
Investor finds a fair outcome in complex financial markets.
Study examines barriers to grid-connected battery systems in Spain, finding high cycle cost remains main obstacle.
We consider an arbitrage-free, discrete time and frictionless market. We prove that an investor maximising the expected utility of her terminal wealth can always find an optimal investment strategy provided that her dissatisfaction of infinite losses is infinite and her utility function is non-decreasing, continuous an…
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…
This paper optimizes portfolio management in incomplete markets with stochastic factors, considering periodic wealth evaluations.
The paper finds optimal strategies for hedging in incomplete markets using derivatives.
Agent maximizes utility with pathwise constraint on portfolio value.
Recently, prediction markets have shown considerable promise for developing flexible mechanisms for machine learning. In this paper, agents with isoelastic utilities are considered. It is shown that the costs associated with homogeneous markets of agents with isoelastic utilities produce equilibrium prices correspondin…
Study shows cooperation can improve everyone's market efficiency.
A shadow price is a process lying within the bid/ask prices of a market with proportional transaction costs, such that maximizing expected utility from consumption in the frictionless market with this price process leads to the same maximal utility as in the original market with transaction costs. For finite probabilit…
Honest traders can outperform insiders in a Black-Scholes market with positive probability.
Optimizes liquidity provision in decentralized exchanges with utility indifference market makers.
The study examines Nash equilibria in utility maximization games with multiplicative performance criteria.