On-device research index

arXiv research

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.

168,657 papers · 148 categories

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9 results for “concavification”

S-shaped Utility Maximization with VaR Constraint and Partial Informationq-fin.MF

Study S-shaped utility maximization with VaR constraint and unobservable drift.

problem Maximizing utility with a Value at Risk (VaR) constraint and unknown drift.

method Bayesian filter, concavification principle, change of measure, semi-closed integral representation, algorithms (Lagrange, simulation, deep neural network).

result Critical wealth level determining solution feasibility and optimal solution existence.

S-shaped utility Value at Risk (VaR)Bayesian filter concavification change of measure

2025-06-11abs ↗pdf ↗

Implicit Incentives for Fund Managers with Partial Informationq-fin.PM

Optimizes fund manager's wealth with partial information on market risk.

problem Maximizing wealth with incomplete information about market risk.

method Formulated as optimization under partial information, solved via martingale method and concavification.

result Shows how learning about market risk affects optimal investment strategy.

asset allocation fund management partial information incentives martingale method

2020-11-16abs ↗pdf ↗

Optimal consumption with loss aversion and reference to past spending maximummath.OC

Study optimal consumption for loss-averse agents considering past spending peaks.

problem Optimal consumption for loss-averse agents with reference to past spending maximum.

method Adopted S-shaped utility, concave envelope, HJB variational inequality, dual transform, and smooth-fit conditions.

result Obtained piecewise closed-form solutions for optimal consumption and investment control.

Optimal Consumption Loss Aversion Past Spending Maximum S-shaped Utility Concave Envelope

2021-08-05abs ↗pdf ↗

Relative growth rate optimization under behavioral criterionq-fin.PM

Optimizes portfolio growth rate for a behavioral investor considering terminal relative growth rate.

problem Optimizing a behavioral investor's portfolio growth rate under relative growth criterion.

method Martingale method, concavification, and quantile optimization techniques.

result Derives closed-form optimal growth rate and finds significant impact of benchmark growth rate.

portfolio optimization behavioral investor relative growth rate probability distortion martingale method

2022-11-10abs ↗pdf ↗

Non-concave expected utility optimization with uncertain time horizonq-fin.PM

Optimizes investment under uncertain time horizons with non-concave utility.

problem Optimizing investment decisions with non-concave utility and uncertain time horizons.

method Established necessary and sufficient conditions for optimality, suggested recursive procedure for non-concave utility.

result Optimal investment strategies under uncertain time horizons exhibit multimodal distribution, indicating flexibility in switching between local maximizers.

investment optimization non-concave utility uncertain time horizon recursive procedure multimodal distribution

2020-05-28abs ↗pdf ↗

A Framework of State-dependent Utility Optimization with General Benchmarksmath.OC

Proposes a new framework for optimizing utility with state-dependent benchmarks.

problem Various interpretations of benchmarks in utility functions.

method General framework of state-dependent utility optimization with stochastic benchmarks.

result Provides optimal solutions and addresses issues of well-definedness and feasibility.

utility optimization state-dependent stochastic benchmarks nontrivial examples

2021-01-17abs ↗pdf ↗

Non-Concave Utility Maximization with Transaction Costsq-fin.MF

The paper analyzes portfolio selection with non-concave utility and transaction costs.

problem Non-concave utility maximization with proportional transaction costs.

method Two-step procedure: asymptotic terminal behavior analysis and discontinuous viscosity solution.

result Optimal portfolio strategies can differ significantly from the frictionless case due to transaction costs.

portfolio selection non-concave utility transaction costs viscosity solution optimal strategies

2023-07-05abs ↗pdf ↗

Optimal management of DC pension fund under relative performance ratio and VaR constraintq-fin.RM

Paper optimizes DC pension fund management with VaR and relative performance constraints.

problem Optimizing DC pension fund performance under VaR and relative performance constraints.

method Introduced an auxiliary process to transform the problem into a self-financing problem, combined linearization, Lagrange dual, martingale, and concavification methods.

result Explicit investment strategies obtained for certain penalty and reward functions.

DC pension fund VaR constraint Relative performance ratio Optimization Pension management

2021-03-07abs ↗pdf ↗

PSAHARA Utility Family: Modeling Non-monotone Risk Aversion and Convex Compensation in Incomplete Marketsmath.OC

Study optimal control strategy for hedge funds managers with PSAHARA utility family.

problem Optimizing risk and reward in incomplete markets with non-monotone risk aversion and convex compensation.

method Introduced PSAHARA utility family to model non-monotone risk aversion and convex compensation. Proved concavification techniques for non-concave utility functions. Derived explicit optimal control strategy.

result PSAHARA utility induces risk-taking behavior even with convex compensation, leading to high returns and volatility.

PSAHARA utility risk aversion convex compensation optimal control hedge funds

2024-06-01abs ↗pdf ↗