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 asset allocation for investors with utility functions and limits.
Develops a framework for optimal investment in assets with different liquidity constraints.
Optimal portfolios are found for a wide range of utility functions under hyperbolic returns.
We consider expected utility maximisation problem for exponential Levy models and HARA utilities in presence of illiquid asset in portfolio. This illiquid asset is modelled by an option of European type on another risky asset which is correlated with the first one. Under some hypothesis on Levy processes, we give the e…
Study portfolio optimization with an exponential utility function and illiquid asset.
Study of portfolio management under relative performance concerns using mean field games.
Study shows risk-averse investors have consistent ranking of risky assets.
Study asset pricing with reference-dependent preferences, finding matching equity premia.
The study bounds the utility of empirically optimal portfolios using stock return data.
Solves optimal control for trading multiple mean-reverting assets.
The paper studies price impacts in asset liquidation markets.
This study found significant asymmetry between potential maximum gain and loss in asset returns, improving predictability and utility for investors.
The paper studies the robust maximization of utility of terminal wealth in the diffusion financial market model. The underlying model consists with risky tradable asset, whose price is described by diffusion process with misspecified trend and volatility coefficients, and non-tradable asset with a known parameter. The …
Solves utility maximization for delayed informed investors.
We consider a popular model of microeconomics with countably many assets: the Arbitrage Pricing Model. We study the problem of optimal investment under an expected utility criterion and look for conditions ensuring the existence of optimal strategies. Previous results required a certain restrictive hypothesis on the ta…
Investors pay for additional asset information based on utility maximization.
Closed-form optimal portfolios for exponential utility in small/large markets.
The paper characterizes optimal dynamic portfolios for a modified mean-variance utility.
Paper solves portfolio optimization with fuzzy risk and credibility theory.
The paper finds optimal strategies for hedging in incomplete markets using derivatives.
This paper studies the optimal risk-averse timing to sell a risky asset. The investor's risk preference is described by the exponential, power, or log utility. Two stochastic models are considered for the asset price -- the geometric Brownian motion and exponential Ornstein-Uhlenbeck models -- to account for, respectiv…
Study evaluates profitability of Islamic banks in Bangladesh using ROA, ROE, and ROD.
We employ perturbation analysis technique to study multi-asset portfolio optimisation with transaction cost. We allow for correlations in risky assets and obtain optimal trading methods for general utility functions. Our analytical results are supported by numerical simulations in the context of the Long Term Growth Mo…
The paper suggests using derivatives instead of stocks for better utility and risk management.
A new cryptocurrency issuance protocol using proof-of-work without mining electricity.
We consider the problem of optimal investment and consumption in a class of multidimensional jump-diffusion models in which asset prices are subject to mutually exciting jump processes. This captures a type of contagion where each downward jump in an asset's price results in increased likelihood of further jumps, both …
We construct an utility-based dynamic asset pricing model for a limit order market. The price is nonlinear in volume and subject to market impact. We solve an optimal hedging problem under the market impact and derive the dynamics of the efficient price, that is, the asset price when a representative liquidity demander…
An explicit formula is derived for the value of weak information in a discrete time model that works for a wide range of utility functions including the logarithmic and power utility. We assume a complete market with a finite number of assets and a finite number of possible outcomes. Explicit calculations are performed…
This paper considers mean-variance optimization under uncertainty, specifically when one desires a sparsified set of optimal portfolio weights. From the standpoint of a Bayesian investor, our approach produces a small portfolio from many potential assets while acknowledging uncertainty in asset returns and parameter es…
In the present paper, we derive a closed-form solution of the multi-period portfolio choice problem for a quadratic utility function with and without a riskless asset. All results are derived under weak conditions on the asset returns. No assumption on the correlation structure between different time points is needed a…
The paper optimizes DIA purchase policies using lifecycle models and asset allocation.
Investigates consumption and investment strategies with preference for liquid assets.
Modern portfolio theory(MPT) addresses the problem of determining the optimum allocation of investment resources among a set of candidate assets. In the original mean-variance approach of Markowitz, volatility is taken as a proxy for risk, conflating uncertainty with risk. There have been many subsequent attempts to al…
This paper formulates a model of utility for a continuous time framework that captures the decision-maker's concern with ambiguity about both volatility and drift. Corresponding extensions of some basic results in asset pricing theory are presented. First, we derive arbitrage-free pricing rules based on hedging argumen…
Enhances crypto-asset AMM with deep learning for better liquidity and efficiency.
We consider the problem of maximizing expected utility from terminal wealth in models with stochastic factors. Using martingale methods and a conditioning argument, we determine the optimal strategy for power utility under the assumption that the increments of the asset price are independent conditionally on the factor…
The comparative statics of the optimal portfolios across individuals is carried out for a continuous-time complete market model, where the risky assets price process follows a joint geometric Brownian motion with time-dependent and deterministic coefficients. It turns out that the indirect utility functions inherit the…
We propose a class of discrete-time stochastic models for the pricing of inflation-linked assets. The paper begins with an axiomatic scheme for asset pricing and interest rate theory in a discrete-time setting. The first axiom introduces a "risk-free" asset, and the second axiom determines the intertemporal pricing rel…
This paper considers exponential utility indifference pricing for a multidimensional non-traded assets model, and provides two linear approximations for the utility indifference price. The key tool is a probabilistic representation for the utility indifference price by the solution of a functional differential equation…
In this paper we derive the exact solution of the multi-period portfolio choice problem for an exponential utility function under return predictability. It is assumed that the asset returns depend on predictable variables and that the joint random process of the asset returns and the predictable variables follow a vect…
Optimal design of automated market makers for decentralized exchanges.
We consider a utility-maximization problem in a general semimartingale financial model, subject to constraints on the number of shares held in each risky asset. These constraints are modeled by predictable convex-set-valued processes whose values do not necessarily contain the origin; that is, it may be inadmissible fo…
Develops first closed-form portfolio formula for GARCH spot assets.
The paper analyzes portfolio selection with non-concave utility and transaction costs.
We consider the problem of exponential utility indifference valuation under the simplified framework where traded and nontraded assets are uncorrelated but where the claim to be priced possibly depends on both. Traded asset prices follow a multivariate Black and Scholes model, while nontraded asset prices evolve as gen…
Investor optimizes utility in a market with endogenous pricing.
The paper modifies asset pricing models using Taylor series expansions and market-based averages.
Study introduces a new copula-based measure for financial asset cointegration.