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 shows how capital constraints can lead to systemic crises in financial systems.
We consider the risk sharing problem for capital requirements induced by capital adequacy tests and security markets. The agents involved in the sharing procedure may be heterogeneous in that they apply varying capital adequacy tests and have access to different security markets. We discuss conditions under which there…
Study examines how EU's Value at Risk constraints affect insurance oligopolies.
Study examines how business units can benefit from group cohesion under regulatory constraints.
Optimizes bank capital structure under Basel III constraints, simplifying complex dynamics.
Dynamic model considers private asset markets' complexities.
The strengthening of capital requirements has induced banks and traders to consider charging a so called capital valuation adjustment (KVA) to the clients in OTC transactions. This roughly corresponds to charge the clients ex-ante the profit requirement that is asked to the trading desk. In the following we try to deli…
Optimal dividend strategy with ratcheting and capital injection under Cramér-Lundberg model.
In this paper, we study the optimal control problem for a company whose surplus process evolves as an upward jump diffusion with random return on investment. Three types of practical optimization problems faced by a company that can control its liquid reserves by paying dividends and injecting capital. In the first pro…
We consider the problem of minimizing capital at risk in the Black-Scholes setting. The portfolio problem is studied given the possibility that a correlation constraint between the portfolio and a financial index is imposed. The optimal portfolio is obtained in closed form. The effects of the correlation constraint are…
The aim of this paper is to solve an optimal investment, consumption and life insurance problem when the investor is restricted to capital guarantee. We consider an incomplete market described by a jump-diffusion model with stochastic volatility. Using the martingale approach, we prove the existence of the optimal stra…
In order to study the phenomenon in detail that income distribution follows Pareto law, we analyze the database of high income companies in Japan. We find a quantitative relation between the average capital of the companies and the Pareto index. The larger the average capital becomes, the smaller the Pareto index becom…
The paper optimizes dividend strategies for companies with assets and liabilities under solvency constraints.
In order to scale transaction rates for deployment across the global web, many cryptocurrencies have deployed so-called "Layer-2" networks of private payment channels. An idealized payment network behaves like a Credit Network, a model for transactions across a network of bilateral trust relationships. Credit Networks …
Reinsurance can help life insurers maintain higher capital guarantees without losing utility.
Study optimal consumption with relaxed benchmarks and drawdown constraints.
Optimal portfolio tracking with dynamic capital injection into a ratcheting benchmark.
Analyzes securitization impacts on monetary and fiscal policies.
Model explains capital allocation and wealth distribution dynamics in a frictional economy.
Firms should keep capital to offer sufficient protection against the risks they are facing. In the insurance context methods have been developed to determine the minimum capital level required, but less so in the context of firms with multiple business lines including allocation. The individual capital reserve of each …
Derives equations for capital deepening in a competitive economy without assuming a production function.
This paper considers optimal control problem of a large insurance company under a fixed insolvency probability. The company controls proportional reinsurance rate, dividend pay-outs and investing process to maximize the expected present value of the dividend pay-outs until the time of bankruptcy. This paper aims at des…
This paper considers an optimal control of a big financial company with debt liability under bankrupt probability constraints. The company, which faces constant liability payments and has choices to choose various production/business policies from an available set of control policies with different expected profits and…
Consider an agent who enters a financial market on day t = 0 with an initial capital amount x. He invests this amount on stocks and the money market, and by day t = T, has generated a wealth W . He is given a convex class of probability measures (called scenarios) and a real-valued function (or floors) corresponding to…
Financial institutions are currently required to meet more stringent capital requirements than they were before the recent financial crisis; in particular, the capital requirement for a large bank's trading book under the Basel 2.5 Accord more than doubles that under the Basel II Accord. The significant increase in cap…
Portfolio managers are typically constrained by turnover limits, minimum and maximum stock positions, cardinality, a target market capitalization and sometimes the need to hew to a style (such as growth or value). In addition, portfolio managers often use multifactor stock models to choose stocks based upon their respe…
In this paper, we construct a solution to the optimal contract problem for delegated portfolio management of the fist-best (risk-sharing) type. The novelty of our result is (i) in the robustness of the optimal contract with respect to perturbations of the wealth process (interpreted as capital injections), and (ii) in …
Study uses VC correlation to uncover directional financial relationships.
The study tests a functional-form restriction on risk exposure dynamics using margin debt data.
Generalizes optimal portfolio theory to include capital gains taxes.
Hybrid framework optimizes reinsurance using generative models and reinforcement learning.
Study examines how insurance affects households prone to proportional losses, especially those near poverty.
Proposes an efficient method for sparse index tracking with -norm constraints.
Based on a point of view that solvency and security are first, this paper considers regular-singular stochastic optimal control problem of a large insurance company facing positive transaction cost asked by reinsurer under solvency constraint. The company controls proportional reinsurance and dividend pay-out policy to…
The investment risk minimization problem with budget and return constraints has been the subject of research using replica analysis but there are shortcomings in the extant literature. With respect to Tobin's separation theorem and the capital asset pricing model, it is necessary to investigate the implications of a ri…
The paper analyzes bank decisions in a three-step model, focusing on equity and debt raising.
The study examines how limited liability and haircut affect a bank's loan portfolio's liquidity risk.
This paper considers nonlinear regular-singular stochastic optimal control of large insurance company. The company controls the reinsurance rate and dividend payout process to maximize the expected present value of the dividend pay-outs until the time of bankruptcy. However, if the optimal dividend barrier is too low t…
This study finds ESG rating disagreement reduces corporate productivity, especially in certain types of firms.
The paper refines and generalizes worst-case law invariant convex risk measures.
This paper studies the optimal dividend problem with capital injection under the constraint that the cumulative dividend strategy is absolutely continuous. We consider an open problem of the general spectrally negative case and derive the optimal solution explicitly using the fluctuation identities of the refracted-ref…
Mathematical model for focused investing reduces diversification risks.
New method optimizes portfolios by dynamically integrating ESG constraints.
New method for insurance valuation combining hedging and risk minimization.
When assessing group solvency, an important question is to what extent intragroup transfers may be considered, as this determines to which extent diversification can be achieved. We suggest a framework to describe the families of admissible transfers that range from the free movement of capital to excluding any transac…
The paper extends Merton's problem by adding benchmark tracking, finding optimal strategies.
The paper explores capital allocation using Euler formula with VaR and ES, revealing non-monotonicity and providing estimation methods.
Study finds stock prices rarely appreciate during capital inflows but often appreciate during normal flows.