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.
We demonstrate a limitation of discounted expected utility, a standard approach for representing the preference to risk when future cost is discounted. Specifically, we provide an example of the preference of a decision maker that appears to be rational but cannot be represented with any discounted expected utility. A …
During the Great Recession, Democrats in the United States argued that government spending could be utilized to "grease the wheels" of the economy in order to create wealth and to increase employment; Republicans, on the other hand, contended that government spending is wasteful and discouraged investment, thereby incr…
We introduce the logistic model of consumption growth, which captures a negative feedback loop preventing an unlimited growth of consumption due to finite biophysical resources of our planet. This simple dynamic model allows for derivation of the expression describing the declining long-term tail of a social discount c…
We determine the optimal amount to invest in a Black-Scholes financial market for an individual who consumes at a rate equal to a constant proportion of her wealth and who wishes to minimize the expected time that her wealth spends in drawdown during her lifetime. Drawdown occurs when wealth is less than some fixed pro…
Stochastic dividend discount models (Hurley and Johnson, 1994 and 1998, Yao, 1997) present expressions for the expected value of stock prices when future dividends evolve according to some random scheme. In this paper we try to offer a more precise view on this issue proposing a closed-form formula for the variance of …
In this paper, we present an online reinforcement learning algorithm, called Renewal Monte Carlo (RMC), for infinite horizon Markov decision processes with a designated start state. RMC is a Monte Carlo algorithm and retains the advantages of Monte Carlo methods including low bias, simplicity, and ease of implementatio…
By analysing the restrictions that ensure the existence of capital market equilibrium, we show that the coefficient of relative risk aversion and the subjective discount factor cannot be high simultaneously as they are supposed to be to make the standard asset pricing consistent with financial stylised facts.
Paper studies optimal investing for retirees with risk constraints.
problem Retirees' longevity and living standard risks in a fluctuating market.
method Formulated as a portfolio choice problem under time-varying risk capacity constraint. Derived optimal investment strategy using differential equations. Demonstrated endogenous spending measure and active investment strategy.
result Time-varying risk capacity constraint impacts asset allocation in retirement.
New RL approach handles non-exponential discounting for sequential decisions.
problem Modeling human discounting in sequential decision-making tasks.
method Generalized model-based reinforcement learning with arbitrary discount functions, using Hamilton-Jacobi-Bellman equation and collocation method.
result Validated approach on simulated problems, showing applicability to human discounting.
A major challenge in Bayesian Optimization is the boundary issue (Swersky, 2017) where an algorithm spends too many evaluations near the boundary of its search space. In this paper, we propose BOCK, Bayesian Optimization with Cylindrical Kernels, whose basic idea is to transform the ball geometry of the search space us…
There is, among the economist ecosystem, the idea of virtuous public spending as a form of promotion of economic growth. If we think on the way GDP is measured, it is not possible to get that conclusion because it becomes circular: measuring the money flow obviously will detect directly the public spending but always m…
Dividend discount models have been developed in a deterministic setting. Some authors (Hurley and Johnson, 1994 and 1998; Yao, 1997) have introduced randomness in terms of stochastic growth rates, delivering closed-form expressions for the expected value of stock prices. This paper extends such previous results by dete…
In this paper we provide a general solution for the dividend discount model in order to compute the intrinsic value of a common stock that allows for multiple stage growth rates of any predetermined number of periods. A mathematical proof is provided for the suggested general solution. A numerical application is also p…
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…
The effects of saving and spending patterns on holding time distribution of money are investigated based on the ideal gas-like models. We show the steady-state distribution obeys an exponential law when the saving factor is set uniformly, and a power law when the saving factor is set diversely. The power distribution c…
This paper presents an algorithm for pricing perpetual American put options with asset-dependent discounting.
problem Pricing perpetual American put options with asset-dependent discounting.
method The approach involves a value function described by a stochastic process with negative exponential jumps and a discount function that depends on the asset price.
result Under certain conditions, the value function can be convex and represented in a closed form.
Automating the customer analytics process is crucial for companies that manage distinct customer bases. In such data-rich and dynamic environments, visualization plays a key role in understanding events of interest. These ideas have led to the popularity of analytics dashboards, yet academic research has paid scant att…
In this paper we study mean-variance hedging under the G-expectation framework. Our analysis is carried out by exploiting the G-martingale representation theorem and the related probabilistic tools, in a contin- uous financial market with two assets, where the discounted risky one is modeled as a symmetric G-martingale…
We consider in this paper a general two-sided jump-diffusion risk model that allows for risky investments as well as for correlation between the two Brownian motions driving insurance risk and investment return. We first introduce the model and then find the integro-differential equations satisfied by the Gerber-Shiu f…