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.
Solves the Merton investment-consumption problem using a new approach.
New optimal investment strategies for finance and insurance using Hawkes-based models.
Solves Merton's investment-consumption problem with certainty equivalent approach.
Investigates how trading boundaries change with transaction costs in portfolio selection.
Optimizes dynamic investment portfolios with correlated jumps.
Optimal healthcare investment timing in a dynamic model with mortality risk.
Unified approach to Merton's portfolio problem using Pontryagin's principles.
Investment and consumption strategy for risk-averse agents with Epstein-Zin utility.
This paper investigates Merton's portfolio problem in a rough stochastic environment described by Volterra Heston model. The model has a non-Markovian and non-semimartingale structure. By considering an auxiliary random process, we solve the portfolio optimization problem with the martingale optimality principle. Optim…
Investigates optimal investment strategies in financial markets with jumps.
Investment strategy in uncertain markets improved by learning and risk-ambiguity preferences.
This paper solves optimal consumption-investment problems with time-varying preferences.
Introduces RPU to explain randomization preference in dynamic settings.
In this paper we consider a variation of the Merton's problem with added stochastic volatility and finite time horizon. It is known that the corresponding optimal control problem may be reduced to a linear parabolic boundary problem under some assumptions on the underlying process and the utility function. The resultin…
This paper solves optimal investment-consumption problems for a risk-averse agent with special utility.
Paper solves investment strategy optimization with deep learning.
Study consumption-investment problem in markets with rank-based returns.
One index satisfies the duality axiom if one agent, who is uniformly more risk-averse than another, accepts a gamble, the latter accepts any less risky gamble under the index. Aumann and Serrano (2008) show that only one index defined for so-called gambles satisfies the duality and positive homogeneity axioms. We call …
We consider a financial market model driven by an R^n-valued Gaussian process with stationary increments which is different from Brownian motion. This driving noise process consists of independent components, and each component has memory described by two parameters. For this market model, we explicitly solve optim…
We study the finite horizon Merton portfolio optimization problem in a general local-stochastic volatility setting. Using model coefficient expansion techniques, we derive approximations for the both the value function and the optimal investment strategy. We also analyze the `implied Sharpe ratio' and derive a series a…
We revisit the optimal investment and consumption problem with proportional transaction costs. We prove that both the value function and the slopes of the lines demarcating the no-trading region are analytic functions of cube root of the transaction cost parameter. Also, we can explicitly calculate the coefficients of …
We show that the mutual fund theorems of Merton (1971) extend to the problem of optimal investment to minimize the probability of lifetime ruin. We obtain two such theorems by considering a financial market both with and without a riskless asset for random consumption. The striking result is that we obtain two-fund the…
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…
Two major financial market complexities are transaction costs and uncertain volatility, and we analyze their joint impact on the problem of portfolio optimization. When volatility is constant, the transaction costs optimal investment problem has a long history, especially in the use of asymptotic approximations when th…
In this paper, optimal consumption and investment decisions are studied for an investor who can invest in a fixed interest rate bank account and a stock whose price is a log normal diffusion. We present the method of the HJB equation in order to explicitly solve problems of this type with modifications such as a fixed …
In this article we study a multi-asset version of the Merton investment and consumption problem with proportional transaction costs. In general it is difficult to make analytical progress towards a solution in such problems, but we specialise to a case where transaction costs are zero except for sales and purchases of …
Combines absolute and relative wealth in portfolio optimization with power utility functions.
Enhances robo-advisors with client investment preference inference.
We study the effect of liquidity freezes on an economic agent optimizing her utility of consumption in a perturbed Black-Scholes-Merton model. The single risky asset follows a geometric Brownian motion but is subject to liquidity shocks, during which no trading is possible and stock dynamics are modified. The liquidity…
Optimal investment strategy with expert opinions in uncertain conditions.
Study portfolio optimization with transaction costs and recursive preferences.
We study a portfolio optimization problem for competitive agents with CRRA utilities and a common finite time horizon. The utility of an agent depends not only on her absolute wealth and consumption but also on her relative wealth and consumption when compared to the averages among the other agents. We derive a closed …
Agent maximizes utility with pathwise constraint on portfolio value.
Revisits consumption-investment problem with anticipative noise.
We introduce a price impact model which accounts for finite market depth, tightness and resilience. Its coupled bid- and ask-price dynamics induce convex liquidity costs. We provide existence of an optimal solution to the classical problem of maximizing expected utility from terminal liquidation wealth at a finite plan…
We study the Merton problem of optimal consumption-investment for the case of two investors sharing a final wealth. The typical example would be a husband and wife sharing a portfolio looking to optimize the expected utility of consumption and final wealth. Each agent has different utility function and discount factor.…
Study many-player investment-consumption games with power FPPs, finding market-risk preference affects consumption.
Paper solves Merton's portfolio problem in a non-Markovian, non-semimartingale model.
We introduce an extension to Merton's famous continuous time model of optimal consumption and investment, in the spirit of previous works by Pliska and Ye, to allow for a wage earner to have a random lifetime and to use a portion of the income to purchase life insurance in order to provide for his estate, while investi…
Many investment models in discrete or continuous-time settings boil down to maximizing an objective of the quantile function of the decision variable. This quantile optimization problem is known as the quantile formulation of the original investment problem. Under certain monotonicity assumptions, several schemes to so…
This paper investigates the investment behaviour of a large unregulated financial institution (FI) with CARA risk preferences. It shows how the FI optimizes its trading to account for market illiquidity using an extension of the Almgren-Chriss market impact model of multiple risky assets. This expected utility optimiza…
Solves wealth maximization problem using variational analysis.
Data-driven RL solves Merton's expected utility problem via policy randomization.
This paper extends the Black-Scholes-Merton model to more complex market scenarios.
A motivating question in this paper is whether a sensible investment strategy may systematically contain long positions in out-of-the-money European calls with short expiry. Here we consider a very simple trading strategy for calls. The main points of this note are the following. First, the presented trading strategy a…
In this article we consider the Merton problem in a market with a single risky asset and transaction costs. We give a complete solution of the problem up to the solution of a free-boundary problem for a first-order differential equation, and find that the form of the solution (whether the problem is well-posed, whether…
We determine the optimal investment strategy of an individual who targets a given rate of consumption and who seeks to minimize the probability of going bankrupt before she dies, also known as {\it lifetime ruin}. We impose two types of borrowing constraints: First, we do not allow the individual to borrow money to inv…
Investment strategies for rank-dependent utility agents are derived in a continuous-time market.