This study analyzes mutual influence on investment strategies of financial market agents.
problem Mutual influence among agents in financial markets and its impact on investment strategies.
method Formulated optimal investment differential game problem, derived analytical solutions, proposed fast algorithm, and theoretically analyzed mutual influence.
result Agents' optimal strategies converge to the asymptotic strategy when mutual influence is strong and approaches infinity.
Optimal trade execution strategies show adaptive methods reduce costs.
problem Optimal trade execution with short-term price predictive signals.
method Comparison of static and adaptive strategies with transient and instantaneous market impacts.
result Adaptive strategies significantly reduce transaction costs compared to static strategies.
New method solves continuous time mean-variance model for consistent investment strategy.
problem Time-consistent optimal strategy for continuous time mean-variance model.
method Developed a new Bellman principle method.
result Obtained a time-consistent dynamic optimal strategy.
Paper introduces dynamic strategies for multi-period investment models.
problem Optimizing investment strategies over multiple periods with risk and return considerations.
method Developed a Bellman principle for discrete time multi-period mean-variance models, leading to dynamic optimal strategies and efficient frontiers.
result Dynamic optimal strategies can achieve higher returns with lower risk compared to the 1/n strategy.
Deep RL learns optimal trading strategies.
problem Optimizing trading strategies using deep reinforcement learning.
method Deep deterministic policy gradient algorithm applied to simple trading environments.
result Deep RL can recover optimal trading strategies and achieve close-to-optimal rewards.
Investigates optimal portfolio strategies in markets with latent side information.
problem Investment problem in markets with latent dependence structure and side information.
method Dynamic and constant portfolio strategies, analyzing log-optimal portfolio as benchmark.
result Optimal dynamic strategy growth rate asymptotically converges to constant strategy in stationary markets.
Global optimization in Bayesian inference yields little additional benefit.
problem Improving psychometric parameter estimation using global optimization strategies.
method Experimental simulations comparing myopic and global strategies in multiple models.
result Global optimization strategies provide negligible additional utility improvement beyond the immediate next steps.
Study optimal strategies for insurer's dividends, investments, and liabilities.
problem Maximize insurer's utility of dividend payments over an infinite horizon.
method Perturbation approach to obtain optimal strategy and value function in closed form.
result Obtained optimal strategy and value function for log and power utility.
A game theory study on optimal hiding and searching strategies in discrete locations.
problem Optimal hiding and searching strategies in a two-person zero-sum game between a hider and a searcher.
method Proved the existence of optimal strategies, developed an algorithm to compute them, and compared with a simple strategy.
result Optimal hiding strategy involves hiding in each location with nonzero probability, and optimal searching strategy can be constructed with up to n simple sequences.
The volume weighted average price (VWAP) execution strategy is well known and widely used in practice. In this study, we explicitly introduce a trading volume process into the Almgren-Chriss model, which is a standard model for optimal execution. We then show that the VWAP strategy is the optimal execution strategy for…
Optimal order execution strategies for brokers under reference benchmarks.
problem Maximizing broker's utility of excess profit-and-loss subject to reference strategies.
method Formulated as a utility maximization problem, optimal strategies derived in closed form.
result General reference strategies can be approximated by piece-wise linear combinations of IS and TC orders.
A strategy ensures maximal wealth growth in competitive asset markets.
problem Maximizing wealth growth in competitive asset markets.
method Game-theoretic model and proof of existence of a submartingale strategy.
result Existence and uniqueness of a submartingale strategy that maximizes wealth growth.
Investment strategy optimized under wealth limits for exponential utility maximization.
problem Maximizing wealth under fixed upper and lower limits for exponential utility.
method Combining optimal investment strategy with options to handle constraints.
result Investment strategy distribution analyzed for change of quantiles.
This paper introduces strategies to maximize arbitrage profits in decentralized exchanges.
problem Maximizing profits from arbitrage loops in decentralized exchanges.
method Three strategies: MaxPrice, MaxMax, and Convex Optimization.
result The Convex Optimization strategy yields the highest monetized arbitrage profit in theory and practice.
Study optimizes financial strategies for various options globally.
problem Optimizing financial strategies for different types of options.
method Martingale optimal transport duality for càdlàg processes.
result Existence of robust semi-static superhedging strategies.
This paper optimizes periodic dividend strategies for Lévy processes with transaction costs.
problem Maximizing dividends for spectrally negative Lévy processes with fixed transaction costs.
method Using periodic strategies and fixed transaction costs, the paper calculates the value function and shows optimality conditions.
result A sufficient condition for optimality is that the Lévy measure is completely monotonic.
Optimizes hedging strategy using Fourier-integration for variance-optimality.
problem Finding optimal hedging strategy under variance-optimality criterion.
method General representations and Fourier-integration for Heston model; sparse hedging selection.
result Sparse semi-static hedging strategy using Fourier-integration.
Study robust optimization for discrete strategies under uncertain conditions.
problem Optimizing decisions in uncertain environments with discrete strategies.
method Nonconcave robust optimization with discrete constraints.
result Existence of maximizers under specific conditions.
Study optimal growth strategies in a continuous-time asset market.
problem Guaranteeing that individual agent strategies cannot outperform the market.
method Mean-field approximation of an infinite number of infinitesimal agents, focusing on optimal strategy distribution among assets.
result Optimal strategy for market agents is to invest proportionally to discounted expected relative dividend intensities.
Optimal asset allocation strategy outperforms stochastic benchmark.
problem Achieving higher terminal wealth than a stochastic benchmark.
method Data-driven Neural Network optimization framework for dynamic asset allocation.
result Optimal adaptive strategy outperforms benchmark with higher median and right-skewed terminal wealth.
This paper studies the properties of discrete time stochastic optimal control problems associated with portfolio selection. We investigate if optimal continuous time strategies can be used effectively for a discrete time market after a straightforward discretization. We found that Merton's strategy approximates the per…
Optimal strategy found for fluctuating asset portfolios.
problem Optimizing portfolios with slowly changing asset returns and volatility.
method Asymptotic analysis of value function and zeroth order suboptimal strategy.
result Asymptotically optimal strategy provided for specific asset classes.
Study optimizes dividend strategies for risk processes with Lévy jumps.
problem Optimizing dividend payments in risk processes with Lévy jumps.
method Analyzes spectrally positive and negative Lévy processes, using scale functions.
result Periodic barrier strategy is optimal for spectrally negative Lévy processes with completely monotone Lévy density.
The paper optimizes insurer's dividend, reinsurance, and capital injection strategies for two collaborating business lines.
problem Maximizing expected total dividend payments while managing risk and preventing ruin.
method Solving the problem using a closed-form value function for optimal strategies.
result Optimal strategies include threshold dividend payout, decreasing reinsured risk, and capital injection to prevent ruin.
Investigates optimal consumption and investment strategies with constraints in incomplete markets.
problem Optimal consumption and investment under constraints in incomplete markets.
method Characterizes optimal strategies via a quadratic BSDE, using martingale optimality criterion and Lyapunov functions.
result Obtains the verification theorem for optimal strategies in unbounded cases.
Proposes a neural network for efficient deep hedging strategies.
problem Hard training of optimal hedging strategies due to action dependence.
method Introduces no-transaction band network, a neural architecture.
result Demonstrates faster and more precise hedging strategies.
Survival strategies in a market with self-determined prices are closely tied to log-optimal investment.
problem Survival of wealth in a market with endogenous prices.
method Assume only one's actions affect prices, use log-optimal strategy, disregard actual prices.
result Survival strategies are asymptotically close to log-optimal strategies.
RLOSRL improves portfolio management by combining RL with a robust strategy.
problem Portfolio optimization and resilience to estimation errors.
method Combining RL with RLOS, approximating objective function with Taylor expansion.
result RLOSRL outperforms traditional strategies in back tests.
Study optimal trading strategies for mean-reverting spreads using integral equations.
problem Optimal timing for trading mean-reverting price spreads.
method Utilized local time-space calculus and nonlinear integral equations of Volterra-type.
result Derived optimal boundaries for trading strategies.
Study optimal strategies under uncertain market parameters and borrowing costs.
problem Optimal portfolio-consumption strategies in uncertain markets.
method Robust utility maximization framework with explicit solutions.
result Impacts of uncertain parameters, constraints, and borrowing costs quantified.
Optimizes hybrid dividend strategies in dual models with periodic and continuous payments.
problem Determining the best dividend strategy in a dual model with periodic and continuous payments.
method Generalizes results from a Brownian model to a dual (spectrally positive Lévy) model, using the scale function.
result The optimal strategy is of the hybrid-barrier type and can be expressed using the scale function.
Study optimal liquidation strategies with infinite horizon and regime switching.
problem Optimal liquidation with semimartingale strategies in a stochastic environment.
method Characterization of value function and optimal strategy via BSDEs with infinite horizon.
result Existence and uniqueness of optimal control problem solutions.
Study optimal dividend strategy with capital injection for Lévy processes.
problem Optimal dividend strategy with capital injection under specific constraints.
method Used fluctuation identities of refracted-reflected Lévy process to derive explicit solution.
result Explicit optimal strategy and value function expressed in terms of scale function.
Article proposes a profitable intraday trading strategy for Chinese stocks.
problem Intraday trading opportunities in Chinese stock market.
method Markowitz optimization and Multilayer Perceptron (MLP) for stock price prediction.
result Validation of Markowitz portfolio optimization and MLP for intraday stock price prediction.
Paper finds optimal membership inference strategies for machine learning models.
problem Determining if a sample was part of the training set of a machine learning model.
method Derives optimal strategies for membership inference with assumptions on parameter distribution, showing that black-box attacks are as good as white-box attacks.
result Optimal strategies are not tractable, leading to approximations that outperform existing methods.
Study optimizes financial strategies in markets with uncertain drift.
problem Optimizing portfolios in markets with unpredictable drift.
method Combines worst-case optimization with filtering techniques to define uncertainty sets.
result Proves minimax theorem and derives optimal strategies for continuous updates.
Optimal strategies in stochastic control problems with two parameters are identified.
problem Optimal control strategies in stochastic processes with two parameters.
method First, parameters are chosen by continuous/smooth fit conditions. Then, optimality is shown using verification arguments.
result Optimal strategies can be concisely expressed via scale functions.
Investigates optimal strategies under financial uncertainty, proving convergence as uncertainty increases.
problem Utility maximization in financial markets with model uncertainty.
method Explicit representation of optimal strategy, minimax theorem, convergence analysis.
result Optimal strategy converges to a generalized uniform diversification strategy as uncertainty increases.
Paper optimizes trading strategies by creating shadow prices for markets with transaction costs.
problem Optimizing trading strategies in markets with transaction costs.
method Developed shadow prices to simplify optimization into a frictionless market, considering second-order transaction costs.
result Alternative strategies outperform shadow prices for risk aversion different from one.
Optimal trading strategies in fluctuating financial markets are analyzed using complex mathematical models.
problem Optimal execution of trades in markets with fluctuating liquidity and order book depth.
method Continuous-time limit order book model with càdlàg semimartingale strategies, quadratic BSDEs.
result Characterization of minimal execution costs and existence of optimal strategies.
Optimizes portfolios with costs, showing existence of optimal strategies.
problem Risk-sensitive portfolio optimization with transaction costs.
method Log-return i.i.d. framework, Bellman equation analysis.
result Existence of optimal strategies for risk-averse and risk-seeking cases.
Optimal dividend strategy in insurance with limited rate decrease.
problem Maximizing expected discounted dividends up to ruin in a risk model.
method Two-dimensional optimal control problem solved using Hamilton-Jacobi-Bellman equation.
result Value function is unique viscosity solution and can be approximated by ratcheting strategies.
Investors in conic models with costs found optimal strategies.
problem Investor behavior in markets with transaction costs.
method Cumulative prospect theory and non-negativity constraints.
result Existence of optimal investment strategies.
Optimizes VWAP strategies for large market volumes with complex market impacts.
problem Minimizing IS cost under general shaped market impact functions.
method Optimization of VWAP execution strategies in a Black-Scholes model with stochastic clock and large trading volume.
result An optimal strategy is a VWAP execution strategy.
Investment strategies in financial markets can lead to instability due to market impacts.
problem Market impacts make it impossible for investors to accurately optimize their strategies.
method Built an agent-based model with technical analysis strategy agents to investigate optimization instability.
result Investment strategies' parameters never converged but continued to change, leading to unstable market price evolution.
We consider a two-dimensional optimal dividend problem in the context of two insurance companies with compound Poisson surplus processes, who collaborate by paying each other's deficit when possible. We solve the stochastic control problem of maximizing the weighted sum of expected discounted dividend payments (among a…
Adaptive market-making strategy improves profit by adjusting to order flow.
problem Optimizing market-making profits in a dynamic market environment.
method Closed-form solutions for optimal bid-ask spreads, modeling demand randomness, and adapting to market order behavior.
result Adaptive strategies outperform fixed and non-adaptive strategies.
Study optimizes nuclear power plant decommissioning risk management.
problem Optimizing risk management for decommissioning nuclear power plants.
method Numerical stochastic optimization approach linking risk aversion to an optimization problem.
result Optimal strategy involves de-risking similar to a concave strategy.