arXiv research

This study analyzes relationships between factor endowments and commodity outputs in a trade model.

In an incomplete market, with incompleteness stemming from stochastic factors imperfectly correlated with the underlying stocks, we derive representations of homothetic (power, exponential and logarithmic) forward performance processes in factor-form using ergodic BSDE. We also develop a connection between the forward …

Classifies 7D manifolds with specific G2-structures and automorphisms.

We extend the estimate obtained in [1] for the mean curvature of a cylindrically bounded proper submanifold in a product manifold with an Euclidean space as one factor to a general product ambient space endowed with a warped product structure.

Multisymplectic geometry admits an operation that has no counterpart in symplectic geometry, namely, taking the product of two multisymplectic manifolds endowed with the wedge product of the multisymplectic forms. We show that there is an L-infinity-embedding of the L-infinity-algebra of observables of the individual f…

This paper studies the optimal consumption under the addictive habit formation preference in markets with transaction costs and unbounded random endowments. To model the proportional transaction costs, we adopt the Kabanov's multi-asset framework with a cash account. At the terminal time T, the investor can receive unb…

We introduce polar metrics on a product manifold, which have product and warped product metrics as special cases. We prove a de Rham-type theorem characterizing Riemannian manifolds that can be locally decomposed as a product manifold endowed with a polar metric. For a product manifold endowed with a polar metric, our …

The aim of our work is to propose a natural framework to account for all the empirically known properties of the multivariate distribution of stock returns. We define and study a "nested factor model", where the linear factors part is standard, but where the log-volatility of the linear factors and of the residuals are…

A new VAE model learns disentangled latent factors without supervision.

The end compactification |Γ| of the locally finite graph Γis the union of the graph and its ends, endowed with a suitable topology. We show that π_1(|Γ|) embeds into a nonstandard free group with hyperfinitely many generators, i.e. an ultraproduct of finitely generated free groups, and that the embedding we construct f…

Paper proposes VAE-BPTF for better tensor factorization of sparse, imbalanced count data.

A similarity structure on a connected manifold M is a Riemannian metric on its universal cover such that the fundamental group of M acts by similarities. If the manifold M is compact, we show that the universal cover admits a de Rham decomposition with at most two factors, one of which is Euclidean. Very recently, afte…

MGLM models all possible language channel factorizations for improved multilingual generation.

Derives explicit investment strategy with random endowment.

Study indifference pricing for insurance policies in a regime-switching market model.

We develop an efficient alternating framework for learning a generalized version of Factorization Machine (gFM) on steaming data with provable guarantees. When the instances are sampled from $d$ dimensional random Gaussian vectors and the target second order coefficient matrix in gFM is of rank $k$, our algorithm conve…

Develops tools to construct Einstein 4-manifolds from conformal foliations.

The group of diffeomorphisms of a compact manifold endowed with the L^2 metric acting on the space of probability densities gives a unifying framework for the incompressible Euler equation and the theory of optimal mass transport. Recently, several authors have extended optimal transport to the space of positive Radon …

Clustering analysis by nonnegative low-rank approximations has achieved remarkable progress in the past decade. However, most approximation approaches in this direction are still restricted to matrix factorization. We propose a new low-rank learning method to improve the clustering performance, which is beyond matrix f…

In this paper we investigate the hedging problem of a unit-linked life insurance contract via the local risk-minimization approach, when the insurer has a restricted information on the market. In particular, we consider an endowment insurance contract, that is a combination of a term insurance policy and a pure endowme…

Study Killing forms on 2-step nilpotent Lie groups, finding their structure and dimensions.

The state sums defining the quantum hyperbolic invariants (QHI) of hyperbolic oriented cusped $3$-manifolds can be split in a "symmetrization" factor and a "reduced" state sum. We show that these factors are invariants on their own, that we call "symmetry defects" and "reduced QHI", provided the manifolds are endowed w…

In this paper we ask whether, given a stock market and an illiquid derivative, there exists arbitrage-free prices at which an utility-maximizing agent would always want to buy the derivative, irrespectively of his own initial endowment of derivatives and cash. We prove that this is false for any given investor if one c…

Study f-minimal hypersurfaces in weighted manifolds, finding index bounds.

SYNC learns time-aware causal representations to improve model generalization in evolving domains.

Suppose M is a non-compact connected smooth n-manifold. Let D(M) denote the group of diffeomorphisms of M endowed with the compact-open C^\infty-topology and D^c(M) denote the subgroup consisting of diffeomorphisms of M with compact support. Let D(M)_0 and D^c(M)_0 be the connected components of id_M in D(M) and D^c(M)…

Stochastic discount factor (SDF) processes in dynamic economies admit a permanent-transitory decomposition in which the permanent component characterizes pricing over long investment horizons. This paper introduces an empirical framework to analyze the permanent-transitory decomposition of SDF processes. Specifically, …

In this paper, we study the problem of expected utility maximization of an agent who, in addition to an initial capital, receives random endowments at maturity. Contrary to previous studies, we treat as the variables of the optimization problem not only the initial capital but also the number of units of the random end…

Investigates how ESG mandates affect portfolio efficiency and risk premia.

Study on stock price formation on trees with multi-population and non-rational agents.

Derives formulas for determinant of Laplacian on curved surfaces.

We consider a model for interest rates, where the short rate is given by a time-homogenous, one-dimensional affine process in the sense of Duffie, Filipovic and Schachermayer. We show that in such a model yield curves can only be normal, inverse or humped (i.e. endowed with a single local maximum). Each case can be cha…

New method for dynamic valuation in markets with random endowments.

We prove that the group D^r(R) of C^r diffeomorphisms of the real line, endowed with the compact-open and Whitney C^r topologies, is bihomeomorphic to the group H(R) of homeomorphisms of the real line endowed with the compact-open and Whitney topologies. This implies that the diffeomorphism group D^r(R) endowed with th…

The paper presents formulas for valuing debt and equity in interconnected firms with comonotonic endowments.

New cochain algebra for diffeological spaces connects de Rham and singular cohomologies.

Realized GARCH model explains VIX and VRP dynamics.

We consider a problem of optimal investment with intermediate consumption and random endowment in an incomplete semimartingale model of a financial market. We establish the key assertions of the utility maximization theory assuming that both primal and dual value functions are finite in the interiors of their domains a…

We study algebraic structures ($L_\infty$ and $A_\infty$-algebras) introduced by Gaiotto, Moore and Witten in their recent work devoted to certain supersymmetric 2-dimensional massive field theories. We show that such structures can be systematically produced in any number of dimensions by using the geometry of seconda…

The subject of this paper is an optimal consumption/optimal portfolio problem with transaction costs and with multiple risky assets. In our model the transaction costs take a special form in that transaction costs on purchases of one of the risky assets (the endowed asset) are infinite, and transaction costs involving …

Investor optimizes wealth in a market with non-traded endowment, deriving expansions up to second order.

In this paper we study the problem of maximizing expected utility from the terminal wealth with proportional transaction costs and random endowment. In the context of the existence of consistent price systems, we consider the duality between the primal utility maximization problem and the dual one, which is set up on t…

For a non-compact n-manifold M let H(M) denote the group of homeomorphisms of M endowed with the Whitney topology and H_c(M) the subgroup of H(M) consisting of homeomorphisms with compact support. It is shown that the group H_c(M) is locally contractible and the identity component H_0(M) of H(M) is an open normal subgr…

In this paper, we consider a numéraire-based utility maximization problem under constant proportional transaction costs and random endowment. Assuming that the agent cannot short sell assets and is endowed with a strictly positive contingent claim, a primal optimizer of this utility maximization problem exists. Moreove…

We prove that for any non-compact connected surface $M$ the group $H_c(M)$ of compactly suported homeomorphisms of $M$ endowed with the Whitney topology is homeomorphic to $R^\infty\times l_2$ or $Z\times R^\infty\times l_2$.

Let G be a real semisimple Lie group with finite center, with a finite number of connected components and without compact factor. We are interested in the homogeneous space of Cartan subgroups of G, which can be also seen as the space of maximal flats of the symmetric space of G. We define its Chabauty compactification…

We study the J-invariant and J-anti-invariant cohomological subgroups of the de Rham cohomology of a compact manifold M endowed with an almost-Kähler structure (J, ω, g). In particular, almost-Kähler manifolds satisfying a Lefschetz type property, and solvmanifolds endowed with left-invariant almost-complex structures …

Study of minimal surfaces in 3D space with special connections.