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.
Study efficient rebalancing strategies for portfolio tracking error.
This study analyzes mutual influence on investment strategies of financial market agents.
A new strategy for identifying the best arm in Gaussian bandits with improved exploration.
In this paper, we study the portfolio optimization problem with general utility functions and when the return and volatility of underlying asset are slowly varying. An asymptotic optimal strategy is provided within a specific class of admissible controls under this problem setup. Specifically, we first establish a rigo…
Dynamic hedging of an European option under a general local volatility model with small linear transaction costs is studied. A continuous control version of Leland's strategy that asymptotically replicates the payoff is constructed. An associated central limit theorem of hedging error is proved. The asymptotic error va…
New strategy optimally identifies best arm in unknown variance Gaussian bandits.
Optimal strategies are found for a repeated betting game using diffusion approximation.
We consider a game-theoretic model of a market where investors compete for payoffs yielded by several assets. The main result consists in a proof of the existence and uniqueness of a strategy, called relative growth optimal, such that the logarithm of the share of its wealth in the total wealth of the market is a subma…
For the stochastic multi-armed bandit (MAB) problem from a constrained model that generalizes the classical one, we show that an asymptotic optimality is achievable by a simple strategy extended from the -greedy strategy. We provide a finite-time lower bound on the probability of correct selection of an optimal ne…
Optimal tuning for estimating ECC in proportional asymptotics.
This note provides a neat and enjoyable expansion and application of the magnificent Ordentlich-Cover theory of "universal portfolios." I generalize Cover's benchmark of the best constant-rebalanced portfolio (or 1-linear trading strategy) in hindsight by considering the best bilinear trading strategy determined in hin…
The question addressed in this paper is the performance of the optimal strategy, and the impact of partial information. The setting we consider is that of a stochastic asset price model where the trend follows an unobservable Ornstein-Uhlenbeck process. We focus on the optimal strategy with a logarithmic utility functi…
Unified framework for response-adaptive targeting in multi-treatment experiments
In this paper we study the asymptotic decay of finite time ruin probabilities for an insurance company that faces heavy-tailed claims, uses predictable investment strategies and makes investments in risky assets whose prices evolve according to quite general semimartingales. We show that the ruin problem corresponds to…
In this work, we consider the hedging error due to discrete trading in models with jumps. Extending an approach developed by Fukasawa [In Stochastic Analysis with Financial Applications (2011) 331-346 Birkhäuser/Springer Basel AG] for continuous processes, we propose a framework enabling us to (asymptotically) optimize…
Game theory model shows optimal investment strategy for wealth growth.
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…
The paper examines fair pricing and hedging stability under small numéraire perturbations.
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…
The aim of this paper is to compare the performances of the optimal strategy under parameters mis-specification and of a technical analysis trading strategy. The setting we consider is that of a stochastic asset price model where the trend follows an unobservable Ornstein-Uhlenbeck process. For both strategies, we prov…
Enhances investment performance by leveraging cross-market information.
Rough stochastic volatility models have attracted a lot of attentions recently, in particular for the linear option pricing problem. In this paper, starting with power utilities, we propose to use a martingale distortion representation of the optimal value function for the nonlinear asset allocation problem in a (non-M…
We consider a stochastic game-theoretic model of an investment market in continuous time with short-lived assets and study strategies, called survival, which guarantee that the relative wealth of an investor who uses such a strategy remains bounded away from zero. The main results consist in obtaining a sufficient cond…
We consider the portfolio choice problem for a long-run investor in a general continuous semimartingale model. We suggest to use path-wise growth optimality as the decision criterion and encode preferences through restrictions on the class of admissible wealth processes. Specifically, the investor is only interested in…
Investigates optimal portfolio strategies in markets with latent side information.
New Monte Carlo method outperforms existing strategy for estimating Sobol' indices.
Investment strategy optimized in markets with transaction costs and search delays.
Optimal strategy identified for minimizing regret in fixed-budget best arm selection.
Proposes a robust Q-learning method to improve treatment strategy estimation.
Large sample size brings the computation bottleneck for modern data analysis. Subsampling is one of efficient strategies to handle this problem. In previous studies, researchers make more fo- cus on subsampling with replacement (SSR) than on subsampling without replacement (SSWR). In this paper we investigate a kind of…
New strategy identifies best Markovian arm with fixed confidence.
DETC algorithm achieves asymptotic optimality in multi-armed bandit problems.
Theoretical and empirical study on SMOTE rebalancing strategy for imbalanced data.
We investigate statistical uncertainty quantification for reinforcement learning (RL) and its implications in exploration policy. Despite ever-growing literature on RL applications, fundamental questions about inference and error quantification, such as large-sample behaviors, appear to remain quite open. In this paper…
Study on helix curves and their Möbius energy asymptotics.
Empirical studies indicate the existence of long range dependence in the volatility of the underlying asset. This feature can be captured by modeling its return and volatility using functions of a stationary fractional Ornstein--Uhlenbeck (fOU) process with Hurst index . In this paper, we analyz…
Survival strategies in a market with self-determined prices are closely tied to log-optimal investment.
This paper shows a buy-and-hold strategy is asymptotically log-optimal for a market with a dominant asset.
Asymptotic error distribution for approximation of a stochastic integral with respect to continuous semimartingale by Riemann sum with general stochastic partition is studied. Effective discretization schemes of which asymptotic conditional mean-squared error attains a lower bound are constructed. Two applications are …
We introduce simple cost and risk proxy metrics that can be attached to Treasury issuance strategy to complement analysis of the resulting portfolio weighted-average maturity (WAM). These metrics are based on mapping issuance fractions to their long-term, asymptotic portfolio implications for cost and risk under mechan…
A competing market model with a polyvariant profit function that assumes "zeitnot" stock behavior of clients is formulated within the banking portfolio medium and then analyzed from the perspective of devising optimal strategies. An associated Markov process method for finding an optimal choice strategy for monovariant…
Model optimal growth strategy in a market with short-lived assets.
Develops a generalized version of Chung's Lemma for stochastic optimization methods.
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…
Polynomial-time method solves complex combinatorial semi-bandits.
Paper optimizes trading strategies by creating shadow prices for markets with transaction costs.
This paper analyzes hedge errors in Black-Scholes models using finite difference techniques.
We prove continuity of a controlled SDE solution in Skorokhod's and topologies and also uniformly, in probability, as a non-linear functional of the control strategy. The functional comes from a finance problem to model price impact of a large investor in an illiquid market. We show that -continuity is…