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 revisits Markowitz's pseudodistance on pseudo-Riemannian manifolds.
We clarify the relationship between the null geodesic completeness of an Einstein Lorentz manifold and its conformal Kobayashi pseudodistance. We show that an Einstein manifold has at least one incomplete null geodesic if its pseudodistancfe is nontrivial. If its pseudodistance is nondegenerate, all of its null geodesi…
We extend the definition of the Kobayashi pseudodistance to almost complex manifolds and show that its familliar properties are for the most part preserved. We also study the automorphism group of an almost complex manifold and finish with some examples.
We consider pairs of a non-empty compact connected and locally connected Hausdorff space and a real-valued continuous function. Our aim is to measure the difference between this kind of the pairs. In this notes we introduce new pseudodistances between pairs associated with reparametrization invariant seminorms. We fini…
In this paper we define Kobayashi-Royden pseudonorm for almost complex manifolds. Its basic properties known from the complex analysis are preserved in the nonintegrable case as well. We prove that the pseudodistance induced by this pseudonorm coincides with the Kobayashi pseudodistance defined for the almost complex c…
In this paper we extend the notion of the Kobayashi-Royden pseudonorm for almost complex manifolds. Its basic properties known from the complex analysis are preserved in the nonintegrable case as well. The main theorem on coincidence of the pseudodistance induced by this pseudonorm with the Kobayashi pseudodistance for…
Introduces a new framework for Riemannian diffeology.
We define the Kobayashi quotient of a complex variety by identifying points with vanishing Kobayashi pseudodistance between them and show that if a compact complex manifold has an automorphism whose order is infinite, then the fibers of this quotient map are nontrivial. We prove that the Kobayashi quotients associated …
Improved Markowitz method handles uncertainty in return forecasts.
By Markowitz geometry we mean the intersection theory of ellipsoids and affine subspaces in a real finite-dimensional linear space. In the paper we give a meticulous and self-contained treatment of this arch-classical subject, which lays a solid mathematical groundwork of Markowitz mean-variance theory of efficient por…
A new portfolio optimization method using the Sherman-Morrison identity.
We give an algebraic definition of a Markowitz market and classify markets up to isomorphism. Given this classification, the theory of portfolio optimization in Markowitz markets without short selling constraints becomes trivial. Conversely, this classification shows that, up to isomorphism, there is little that can be…
In this paper, we consider some generalized holomorphic maps between pseudo-Hermitian manifolds and Hermitian manifolds. By Bochner formulas and comparison theorems, we establish related Schwarz type results. As corollaries, Liouville theorem and little Picard theorem for basic CR functions are deduced. Finally, we stu…
This study compares Markowitz and Single-Index models for Malaysian stocks.
Article proposes a profitable intraday trading strategy for Chinese stocks.
We simplify proof of the theorem that close to any pseudoholomorphic disk there passes a pseudoholomorphic disk of arbitrary close size with any pre-described sufficiently close direction. We apply these results to the Kobayashi and Hanh pseudodistances. It is shown they coincide in dimensions higher than four. The res…
We derive properties of the cdf of random variables defined as saddle-type points of real valued continuous stochastic processes. This facilitates the derivation of the first-order asymptotic properties of tests for stochastic spanning given some stochastic dominance relation. We define the concept of Markowitz stochas…
Markowitz simplified portfolio returns assuming constant trade volumes.
Robustifies Markowitz portfolios to reduce transaction costs and improve performance.
Bayesian Markowitz portfolio problem shows entropy regularization is ineffective.
Improved portfolio optimization using machine learning and hierarchical clustering.
Hybrid approach combines Markowitz's theory with reinforcement learning for optimal portfolio management.
We consider an incomplete market with a nontradable stochastic factor and a continuous time investment problem with an optimality criterion based on monotone mean-variance preferences. We formulate it as a stochastic differential game problem and use Hamilton-Jacobi-Bellman-Isaacs equations to find an optimal investmen…
The paper analyzes how behavioral investors make portfolio decisions using Markowitz Stochastic Dominance criteria.
Study Gromov hyperbolic domains in Minkowski space, proving equivalence to boundary properties.
This paper improves traditional Markowitz optimization by considering variance at multiple time scales.
Motivated by the classical Euler elastic curves, David A. Singer posed in 1999 the problem of determining a plane curve whose curvature is given in terms of its position. We propound the same question in Lorentz-Minkowski plane, focusing on spacelike and timelike curves. In this article, we study those curves in $\math…
We briefly review the approach to optimization of portfolios according to the theory of Markowitz and propose a further modification that can improve the outcome of the optimization process. The modification takes account of the entropic contribution from the time series used to compute the parameters in the Markowitz …
The asymptotic distribution of the Markowitz portfolio is derived, for the general case (assuming fourth moments of returns exist), and for the case of multivariate normal returns. The derivation allows for inference which is robust to heteroskedasticity and autocorrelation of moments up to order four. As a side effect…
New method corrects Markowitz variance for trading volume fluctuations.
We study the Markowitz portfolio selection problem with unknown drift vector in the multidimensional framework. The prior belief on the uncertain expected rate of return is modeled by an arbitrary probability law, and a Bayesian approach from filtering theory is used to learn the posterior distribution about the drift …
We introduce a solution scheme for portfolio optimization problems with cardinality constraints. Typical portfolio optimization problems are extensions of the classical Markowitz mean-variance portfolio optimization model. We solve such type of problems using a method similar to column generation. In this scheme, the o…
A new portfolio optimization model minimizes maximum drawdown, offering faster and more robust solutions.
Naive investors make riskier choices than optimal strategies in continuous-time finance.
Study analyzes portfolio performance of crypto and traditional assets.
New algorithm optimizes adaptive return level for Markowitz portfolios.
This paper optimizes portfolio selection for multivariate affine and quadratic Volterra models with rough volatilities.
The paper constructs contact-hyperbolic manifolds with large automorphism groups.
The emergence of robust optimization has been driven primarily by the necessity to address the demerits of the Markowitz model. There has been a noteworthy debate regarding consideration of robust approaches as superior or at par with the Markowitz model, in terms of portfolio performance. In order to address this skep…
This paper compares modern portfolio theories and applies them to real-world portfolio selection.
This paper bridges Markowitz planning and deep reinforcement learning for portfolio optimization.
Quantum computing optimizes ESG portfolios efficiently.
Paper connects two portfolio methods, HRP and Minimum Variance, revealing their underlying similarity.
Let be a closed and oriented surface of genus at least . In this (mostly expository) article, the object of study is the space of marked isomorphism classes of projective structures on . We show that , endowed with the canonical complex structure, carries exotic hermitian …
The main purpose of this study is the determination of the optimal length of the historical data for the estimation of statistical parameters in Markowitz Portfolio Optimization. We present a trading simulation using Markowitz method, for a portfolio consisting of foreign currency exchange rates and selected assets fro…
The focal point of this paper is the issue of "drawdown" which arises in recursive betting scenarios and related applications in the stock market. Roughly speaking, drawdown is understood to mean drops in wealth over time from peaks to subsequent lows. Motivated by the fact that this issue is of paramount concern to co…
In the paper, we consider three quadratic optimization problems which are frequently applied in portfolio theory, i.e, the Markowitz mean-variance problem as well as the problems based on the mean-variance utility function and the quadratic utility.Conditions are derived under which the solutions of these three optimiz…
The paper describes a method to infer the signal-to-noise ratio in portfolio optimization.