arXiv research

GA-MSSR optimizes forex trading rules for higher returns and reduced risk.

We present a new methodology of computing incremental contribution for performance ratios for portfolio like Sharpe, Treynor, Calmar or Sterling ratios. Using Euler's homogeneous function theorem, we are able to decompose these performance ratios as a linear combination of individual modified performance ratios. This a…

Given the return series for a set of instruments, a \emph{trading strategy} is a switching function that transfers wealth from one instrument to another at specified times. We present efficient algorithms for constructing (ex-post) trading strategies that are optimal with respect to the total return, the Sterling ratio…

The paper analyzes sterling bills of exchange during the first globalization, revealing their global financial role.

We show that one-sided Alexandrov embedded constant mean curvature cylinders of finite type in the 3-sphere are surfaces of revolution. This confirms a conjecture by Pinkall and Sterling that the only embedded constant mean curvature tori in the 3-sphere are rotational.

We investigate CMC-surfaces with periodic metric in a dressing orbit of the cylinder. It is shown, that such surfaces are always of finite type. Using the periodicity conditions for the extended frame of a CMC-surface, we develop an alternative approach to the classification of CMC-tori given by Pinkall and Sterling.

We study higher-order conservation laws of the non-linearizable elliptic Poisson equation $\frac{{\partial}^2 u}{\partial z \partial \bar{z}} = -f(u)$ as elements of the characteristic cohomology of the associated exterior differential system. The theory of characteristic cohomology determines a normal form for diffe…

We study minimal annuli in $\mathbb{S}^2 \times \mathbb{R}$ of finite type by relating them to harmonic maps $\mathbb{C} \to \mathbb{S}^2$ of finite type. We rephrase an iteration by Pinkall-Sterling in terms of polynomial Killing fields. We discuss spectral curves, spectral data and the geometry of the isospectral set…

We study the space of periodic solutions of the elliptic $\sinh$-Gordon equation by means of spectral data consisting of a Riemann surface $Y$ and a divisor $D$. We show that the space $M_g^{\mathbf{p}}$ of real periodic finite type solutions with fixed period $\mathbf{p}$ can be considered as a completely integrable s…

We present a connection between the Killing fields that arise in the loop-group approach to integrable systems and conservation laws viewed as elements of the characteristic cohomology. We use the connection to generate the complete set of conservation laws (as elements of the characteristic cohomology) for the Tzitzei…

We show how to assign to any immersed torus in $\R^3$ or $S^3$ a Riemann surface such that the immersion is described by functions defined on this surface. We call this surface the spectrum or the spectral curve of the torus. The spectrum contains important information about conformally invariant properties of the toru…

The paper studies how to transform a sequence of cmc planes into a minimal surface.

Trade finance history traced from medieval origins to modern markets.

We discuss - in what is intended to be a pedagogical fashion - generalized "mean-to-risk" ratios for portfolio optimization. The Sharpe ratio is only one example of such generalized "mean-to-risk" ratios. Another example is what we term the Fano ratio (which, unlike the Sharpe ratio, is independent of the time horizon)…

FORE evaluates occupancy ratios without requiring Bellman completeness.

Optimal option portfolios under Sharpe Ratio maximization with skew-elliptical t-distributed returns

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…

The paper proposes an asset allocation strategy using the Sortino ratio for better performance.

A new ratio, the Hansen ratio, simplifies mean-variance portfolio theory.

Develops a new density ratio estimator for causal inference.

New PU ratio predicts long-term Bitcoin returns better than other methods.

The paper studies curves of constant-ratio in pseudo-Galilean space.

Unified framework for OOD detection using class ratio estimation.

Paper shows how to embed Möbius bands with many twists and small aspect ratios.

Direct neural ratio estimator for likelihood-free inference.

Neural networks approximate likelihood ratios for complex models.

Paper tackles unbounded density ratio estimation for covariate shift adaptation.

Calculates twist in Teichmüller space using cross ratios.

Study shows robust method for estimating density ratios even with heavy contamination.

Meta-learning improves relative density-ratio estimation from limited data.

TRE improves density-ratio estimation for highly dissimilar densities.

New method resolves density ratio estimation saturation issues.

The paper describes a method to infer the signal-to-noise ratio in portfolio optimization.

Sharpe ratio (sometimes also referred to as information ratio) is widely used in asset management to compare and benchmark funds and asset managers. It computes the ratio of the (excess) net return over the strategy standard deviation. However, the elements to compute the Sharpe ratio, namely, the expected returns and …

Paper develops estimators for unbounded density ratios with applications in error control.

Estimates for plate eigenvalues with nonzero Poisson's ratio.

The paper analyzes the Rashomon ratio for infinite classifier families and shows its importance for choosing good classifiers.

The estimate of a Multiperiod probability of default applied to residential mortgages can be obtained using the mean of the observed default, so called the Mean of ratios estimator, or aggregating the default and the issued mortgages and computing the ratio of their sum, that is the Ratio of means. This work studies th…

Study on Leverage Ratio in European banks during financial crises.

New Finsler metric on sphere disproves systolic ratio conjecture.

Featurization improves density ratio estimation for complex data.

Multifractal detrended cross-correlation methodology is described and applied to Foreign exchange (Forex) market time series. Fluctuations of high frequency exchange rates of eight major world currencies over 2010-2018 period are used to study cross-correlations. The study is motivated by fundamental questions in compl…

We generalize the natural cross ratio on the ideal boundary of a rank one symmetric spaces, or even $\mathrm{CAT}(-1)$ space, to higher rank symmetric spaces and (non-locally compact) Euclidean buildings - we obtain vector valued cross ratios defined on simplices of the building at infinity. We show several properties …

Smooth minimizers found for Willmore energy surfaces.

Infinite hyperbolic manifolds share same perimeter-to-volume ratio.

Adapts RKHS methods to estimate density ratios with optimal error.

In this work, we propose new objective functions to train deep neural network based density ratio estimators and apply it to a change point detection problem. Existing methods use linear combinations of kernels to approximate the density ratio function by solving a convex constrained minimization problem. Approximating…

The Sharpe ratio is a way to compare the excess returns (over the risk free asset) of portfolios for each unit of volatility that is generated by a portfolio. In this paper we introduce a robust Sharpe ratio portfolio under the assumption that the risk free asset is unknown. We propose a robust portfolio that maximizes…