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.
Omega ratio, defined as the probability-weighted ratio of gains over losses at a given level of expected return, has been advocated as a better performance indicator compared to Sharpe and Sortino ratio as it depends on the full return distribution and hence encapsulates all information about risk and return. We comput…
We prove that the Omega measure, which considers all moments when assessing portfolio performance, is equivalent to the widely used Sharpe ratio under jointly elliptic distributions of returns. Portfolio optimization of the Sharpe ratio is then explored, with an active-set algorithm presented for markets prohibiting sh…
Investors can enhance their portfolios by strategically using LETFs, especially with dynamic strategies.
This paper proves equivalences of portfolio optimization problems with negative expectile and omega ratio. We derive subgradients for the negative expectile as a function of the portfolio from a known dual representation of expectile and general theory about subgradients of risk measures. We also give an elementary der…
Suppose M is a noncompact connected oriented C^infty n-manifold and omega is a positive volume form on M. Let D^+(M) denote the group of orientation preserving diffeomorphisms of M endowed with the compact-open C^infty topology and D(M; omega) denote the subgroup of omega-preserving diffeomorphisms of M. In this paper …
New DQ based on expectiles improves portfolio diversification.
End-to-end framework optimizes financial metrics using neural networks.
Proposes a new method to rank risky investments based on Omega measure.
The study evaluates forecast risk-adjusted performance using various metrics.
We consider a vector space V over K=R or C, equipped with a skew symmetric bracket [.,.]: V x V --> V and a 2-form omega:V x V --> K. A simple change of the Jacobi identity to the form [A,[B,C]]+[C,[A,B]]+[B,[C,A]]=omega(B,C)A+omega(A,B)C+omega(C,A)B opens new possibilities, which shed new light on the Bianchi classifi…
We prove that an arbitrary Poisson structure omega^{ij}(u) and an arbitrary closed 3-form T_{ijk}(u) generate the local Poisson structure A^{ij}(u,u_x) = M^i_s(u,u_x)omega^{sj}(u), where M^i_s(u,u_x)(delta^s_j + omega^{sp}(u)T_{pjk}(u)u^k_x) = delta^i_j, on the corresponding loop space. We obtain also a special graded …
We determine the third cohomology of Alexander quandles of the form F_q[T]/(T-omega), where F_q denotes the finite field of order q and omega is an element of F-q which is neither 0 nor 1. As a result, we obtain many concrete examples of non-trivial 3-cocycles.
Let Omega^3(SU(n)) be the Lie group of based mappings from S^3 to SU(n). We construct a Lie group extension of Omega^3(SU(n)) for n>2 by the abelian group of the affine dual space of SU(n)-connections on S^3. In this article we give several improvement of J. Mickelsson's results in 1987, especially we give a precise de…
A two-stage decision support system optimizes long-short portfolios under ESG considerations.
Paper extends ranking metrics theory for financial positions.
Let X be some Riemann surface, and let omega be a meromorphic quadratic differential form on X, that is, omega can be written in local coordinates as f(z) dz^2, for some meromorphic function f. We say that a curve gamma is part of a horizontal leaf of omega if for each t in I, we have that f(gamma(t)) (gamma'(t))^2 is …
Paper extends ranking metrics theory for financial positions.
Let (M, g, omega) be a compact, almost-Kaehler Einstein 4-manifold of negative star-scalar curvature. Then (M, omega) is a MINIMAL symplectic 4-manifold of general type. In particular, M cannot be differentiably decomposed as a connected sum N # (-CP_2).
Omega method mitigates noise in stochastic game optimization.
In this paper we study the Omega risk model with surplus-dependent tax payments in a time-homogeneous diffusion setting. The new model incorporates practical features from both the Omega risk model(Albrecher and Gerber and Shiu (2011)) and the risk model with tax(Albrecher and Hipp (2007)). We explicitly characterize t…
On a compact, oriented, Riemannian manifold, the Hodge decomposition theorem associates a smooth primitive to any exact smooth form omega. In this paper, we show that given a smooth family of exact smooth forms omega(t), the family of associated primitives is also a smooth family with respect to t.
We introduce the notion of a positive opetope and positive opetopic cardinals as certain finite combinatorial structures. The positive opetopic cardinals to positive-to-one polygraphs are like simple graphs to free omega-categories over omega-graphs, c.f. [MZ]. In particular, they allow us to give an explicit combinato…
An SU(3)- or SU(1,2)-structure on a 6-dimensional manifold N^6 can be defined as a pair of a 2-form omega and a 3-form rho. We prove that any analytic SU(3)- or SU(1,2)-structure on N^6 with d omega^2 =0 can be extended to a parallel Spin(7)- or Spin_0(3,4)-structure Phi that is defined on the trivial disc bundle N^6\t…
This article shows that given any orientable 3-manifold X, the 7-manifold T^*X x R admits a closed G_2-structure varphi=Re(Omega)+omega\wedge dt where Omega is a certain complex-valued 3-form on T^*X; next, given any 2-dimensional submanifold S of X, the conormal bundle N^*S of S is a 3-dimensional submanifold of T^*X …
Let N and P be smooth manifolds of dimensions n and p (n>=p>=2). Let Omega^{I}(N,P) denote an open subspace of J(N,P) which consists of all Boardman submanifolds Sigma^{J}(N,P) with J=< I in the lexicographic order. We will prove the homotopy principle in the existence level for Omega^{I}(N,P).
Quantum cellular automata form a homology theory.
We describe two extensions of the notion of a self-dual connection in a vector bundle over a manifold M from dim M=4 to higher dimensions. The first extension, Omega-self-duality, is based on the existence of an appropriate 4-form Omega on the Riemannian manifold M and yields solutions of the Yang-Mills equations. The …
We develop the idea of using Monte Carlo sampling of random portfolios to solve portfolio investment problems. In this first paper we explore the need for more general optimization tools, and consider the means by which constrained random portfolios may be generated. A practical scheme for the long-only fully-invested …
Unique arcs create slopes in genus two handlebodies.
Let LM be the semigroup of non-degenerate based loops with a fixed initial/final frame in a Riemannian manifold M of dimension at least three. We compare the topology of LM to that of the loop space Omega FTM on the bundle of frames in the tangent bundle of M. We show that Omega FTM is the group completion of LM, and p…
Study Bergman metric on Cartan-Hartogs domains and their duals.
We prove the existence of a smooth family of non-compact domains bifurcating from the straight cylinder for which the first eigenfunction of the Laplacian with 0 Dirichlet boundary condition also has constant Neumann data at the boundary. The domains are rotationally s…
Let X and Y be finite-type CW-complexes (X connected, Y simply connected), such that the rational cohomology ring of Y is a k-rescaling of the rational cohomology ring of X. Assume H^*(X,Q) is a Koszul algebra. Then, the homotopy Lie algebra pi_*(Omega Y) tensor Q equals, up to k-rescaling, the graded rational Lie alge…
Inertial confinement fusion (ICF) experiments are designed using computer simulations that are approximations of reality, and therefore must be calibrated to accurately predict experimental observations. In this work, we propose a novel nonlinear technique for calibrating from simulations to experiments, or from low fi…
We propose a Lie geometric point of view on flat fronts in hyperbolic space as special omega-surfaces and discuss the Lie geometric deformation of flat fronts.
This paper categorifies Quinn's TQFTs and computes them for specific omega-groupoids.
Study geodesics of meromorphic connections on Riemann surfaces.
We consider non-degenerate centro-affine hypersurface immersions in R^n whose cubic form is parallel with respect to the Levi-Civita connection of the affine metric. There exists a bijective correspondence between homothetic families of proper affine hyperspheres with center in the origin and with parallel cubic form, …
The group Gamma of automorphisms of the polynomial kappa(x,y,z) = x^2 + y^2 + z^2 - xyz -2 is isomorphic to PGL(2,Z) semi-direct product with (Z/2+Z/2). For t in R, Gamma-action on ktR = kappa^{-1}(t) intersect R displays rich and varied dynamics. The action of Gamma preserves a Poisson structure defining a Gamma-invar…
In his recent investigation of a super Teichmüller space, Sachse (2007), based on work of Molotkov (1984), has proposed a theory of Banach supermanifolds using the `functor of points' approach of Bernstein and Schwarz. We prove that the the category of Berezin-Kostant-Leites supermanifolds is equivalent to the category…
On a smooth manifold M, generalized complex (generalized paracomplex) structures provide a notion of interpolation between complex (paracomplex) and symplectic structures on M. Given a complex manifold (M,j), we define six families of distinguished generalized complex or paracomplex structures on M. Each one of them in…
We study cubical sets without degeneracies, which we call square sets. These sets arise naturally in a number of settings and they have a beautiful intrinsic geometry; in particular a square set C has an infinite family of associated square sets J^i(C), i=1,2,..., which we call James complexes. There are mock bundle pr…
A scalable framework selects top factors from CAE latent factors for better portfolio optimization.
We study the optimal stopping of an American call option in a random time-horizon under exponential spectrally negative Lévy models. The random time-horizon is modeled as the so-called Omega default clock in insurance, which is the first time when the occupation time of the underlying Lévy process below a level , ex…
Let L be a Lie group and Lambda a lattice in L. Suppose G is a non-compact simple Lie group realized as a Lie subgroup of L, and the image of G on L/Lambda is dense. Let c be a diagonalizable element of G not contained in a compact subgroup. Let U be the expanding horospherical subgroup of G associated to c. Let Omega …
The Bakry-Emery generalized Ricci tensor arises in scalar-tensor gravitation theories in the conformal gauge known as the Jordan frame. Recent results from the mathematics literature show that standard singularity and splitting theorems that hold when an energy condition is applied in general relativity also hold when …
We define a twistor-like transform of the equations of eleven-dimensional supergravity. More precisely these equations are encoded by the CR-structure on the twistor space P^{2*15+11|8*2+16}. In addition equations of the linearized eleven-dimensional supergravity adapted to the 3-form potential can be transformed into …
We show that every knot type admits a pair of diagrams that cannot be made identical without using Reidemeister Omega_2-moves. We also show that our proof is compatible with known results for the other move types, in the sense that every knot type admits a pair of diagrams that cannot be made identical without using al…