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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.

168,786 papers · 148 categories

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0111 · Jun 199819922001200920172026
3 results for “disutility”
Optimal investment and contingent claim valuation with exponential disutility under proportional transaction costsq-fin.MF

Study optimizes investment and claim valuation with transaction costs and disutility.

problem Optimizing contingent claim valuation with transaction costs and disutility.
method Dual representation and dynamic procedure for solving disutility minimization problem, leading to efficient numerical procedures.
result Efficient and convergent numerical procedures for indifference pricing, optimal trading strategies, and shadow prices.
investment optimizationcontingent claimstransaction costsdisutilitynumerical methods
2019-09-13abs ↗pdf ↗
Off-Policy Evaluation with Out-of-Sample Guaranteesstat.ML

Validates policies using past observational data with guarantees about out-of-sample performance.

problem Evaluating decision policies using past data observed under a different policy.
method Sample-splitting method to draw inferences about the entire loss distribution with finite-sample coverage guarantees.
result Valid inferences about out-of-sample loss with finite-sample coverage guarantees, accounting for model misspecifications.
off-policy evaluationobservational datasample-splittingcoverage guaranteespolicy performance
2023-01-20abs ↗pdf ↗