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.
Derives formula for present value of future consumer goods multiplier.
The paper analyzes strategic irreversible investments with novel dynamic strategies.
Long term optimal investment problems are studied in a factor model with matrix valued state variables. Explicit parameter restrictions are obtained under which, for an isoelastic investor, the finite horizon value function and optimal strategy converge to their long-run counterparts as the investment horizon approache…
This paper defines systematic value investing as an empirical optimization problem. Predictive modeling is introduced as a systematic value investing methodology with dynamic and optimization features. A predictive modeling process is demonstrated using financial metrics from Gray & Carlisle and Buffett & Clark. A 31-y…
The paper examines smoothness of value function in consumption-investment models with borrowing constraints.
Study analyzes climate-tech investments across 14 sectors.
Analyst reports contain valuable information for investment decisions.
Paper applies theorem to find optimal investment boundary in stochastic capacity expansion.
We discuss the turnpike property for optimal investment and consumption problems. We find there exists a threshold value that determines the turnpike property for investment policy. The threshold value only depends on the Sharpe ratio, the riskless interest rate and the discount rate. We show that if utilities behave a…
We determine the optimal investment strategy in a Black-Scholes financial market to minimize the so-called {\it probability of drawdown}, namely, the probability that the value of an investment portfolio reaches some fixed proportion of its maximum value to date. We assume that the portfolio is subject to a payout that…
We introduce a general decision tree framework to value an option to invest/divest in a project, focusing on the model risk inherent in the assumptions made by standard real option valuation methods. We examine how real option values depend on the dynamics of project value and investment costs, the frequency of exercis…
Solves VaR-constrained portfolio optimization in markets with stochastic volatility.
We consider a singular control problem with regime switching that arises in problems of optimal investment decisions of cash-constrained firms. The value function is proved to be the unique viscosity solution of the associated Hamilton-Jacobi-Bellman equation. Moreover, we give regularity properties of the value functi…
Study finds key investing characteristics for success in equity markets.
Investor optimizes investment and consumption under uncertain market conditions with constraints.
The paper evaluates company investment value using machine learning models.
I studied what role the US stock markets and money markets have possibly played in the Gross Private Domestic Investment (GPDI) of the United States from the year 1959 to the year 2001, Gross Private Domestic Investment refers to the total amount of investment spending by businesses and firms located within the borders…
Investors seek to attribute performance to various features using Shapley value method.
Study examines Indian equity mutual funds' investment style and risk-shifting.
We study optimal investment problems under the framework of cumulative prospect theory (CPT). A CPT investor makes investment decisions in a single-period financial market with transaction costs. The objective is to seek the optimal investment strategy that maximizes the prospect value of the investor's final wealth. W…
We introduce a new approach to incorporate uncertainty into the decision to invest in a commodity reserve. The investment is an irreversible one-off capital expenditure, after which the investor receives a stream of cashflow from extracting the commodity and selling it on the spot market. The investor is exposed to pri…
We consider an agent who invests in a stock and a money market account with the goal of maximizing the utility of his investment at the final time T in the presence of a proportional transaction cost. The utility function considered is power utility. We provide a heuristic and a rigorous derivation of the asymptotic ex…
The paper considers an investment timing problem appearing in real options theory. Present values from an investment project are modeled by general diffusion process. We prove necessary and sufficient conditions under which an optimal investment time is induced by threshold strategy. We study also the conditions of opt…
Model predicts activist fund targets with 78.2% accuracy.
This paper is devoted to study the effects arising from imposing a value-at-risk (VaR) constraint in mean-variance portfolio selection problem for an investor who receives a stochastic cash flow which he/she must then invest in a continuous-time financial market. For simplicity, we assume that there is only one investm…
This paper solves optimal consumption-investment problems with time-varying preferences.
Paper studies optimal investing for retirees with risk constraints.
Study analyzes FIT schemes under market and regulatory uncertainty.
Study investigates ruin probability with random premiums and risky investments.
The paper models insurance market dynamics under uncertainty and financial frictions.
Long term investment is one of the major investment strategies. However, calculating intrinsic value of some company and evaluating shares for long term investment is not easy, since analyst have to care about a large number of financial indicators and evaluate them in a right manner. So far, little help in predicting …
We study regularity properties of the dynamic value functions of primal and dual problems of optimal investing for utility functions defined on the whole real line. Relations between decomposition terms of value processes of primal and dual problems and between optimal solutions of basic and conditional utility maximiz…
New method uses impact IRR to assess impact investments.
A crypto coin designed to provide a stabilization instrument backed up by minded like financial investments instruments to maintain the purchase value of savings across time, in order to construct new tools for unstable economies.
Strategic valuation of efficient and well-timed network investments under uncertain electricity market environment has become increasingly challenging, because there generally exist multiple interacting options in these investments, and failing to systematically consider these options can lead to decisions that underva…
This paper evaluates investment risks in LATAM AI startups using DCF method.
Research examines how foreign direct investment in Vietnam affects stock returns.
Study optimal reinsurance and investment to minimize drawdown risk.
Study optimal investment-reinsurance strategy for insurers under random coefficients and jumps.
Optimizes dynamic investment portfolios with correlated jumps.
Investment decision triggered by a convex curve in a two-factor uncertainty model.
In this paper, we use replica analysis to determine the investment strategy that can maximize the net present value for portfolios containing multiple development projects. Replica analysis was developed in statistical mechanical informatics and econophysics to evaluate disordered systems, and here we use it to formula…
Qlib aims to integrate AI into quantitative investment.
Study optimal consumption and investment strategies with leverage constraints using Epstein-Zin utility.
This study improves valuation of post-revenue biopharmaceutical assets using Pfizer's data.
We study the risk criterion for investments based on the drawdown from the maximal value of the capital in the past. Depending on investor's risk attitude, thus his risk exposure, we find that the distribution of these drawdowns follows a general power law. In particular, if the risk exposure is Kelly-optimal, the expo…
Any research on strategies for reaching business excellence aims at revealing the appropriate course of actions any executive should consider. Thus, discussions take place on how effective a performance measurement system can be estimated, or/and validated. Can one find an adequate measure (i) on the performance result…
Model investor risk preferences to adjust real option valuation.