In the present paper, the minimal investment risk for a portfolio optimization problem with imposed budget and investment concentration constraints is considered using replica analysis. Since the minimal investment risk is influenced by the investment concentration constraint (as well as the budget constraint), it is i…
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48 results for “investment problems”
Solves pair trading problem using consumption-investment theory.
problem Pair trading consumption-investment problem
method Reduces HJB equation to a linear parabolic equation solvable explicitly
result Simple solution to pair trading problem
Investment decision triggered by a convex curve in a two-factor uncertainty model.
problem Optimal irreversible investment in a company with two products whose prices follow geometric Brownian motions.
method Two-dimensional optimal stopping problem, nonlinear integral equation, convex curve characterization.
result Optimal investment decision is characterized by a convex curve, unique solution to a nonlinear integral equation.
The paper considers an investment timing problem appearing in real options theory. Present values from an investment project are modeled by general diffusion process. We prove necessary and sufficient conditions under which an optimal investment time is induced by threshold strategy. We study also the conditions of opt…
We study a practical optimization problems for venture capital investments and/or Research and Development (R&D) investments. The first problem is that, given the amount of the initial investment and the reward function at the initial public offering (IPO) market, the venture capitalist wants to maximize overall discou…
New optimal investment strategies for finance and insurance using Hawkes-based models.
problem Optimal investment strategies in finance and insurance for specific models.
method Solving Merton investment problems with Hawkes-based models.
result New optimal investment results for finance and insurance models.
The investment economy is a main characteristic of prosperous society. The investment portfolio management is a main financial problem, which has to be solved by the investment, commercial and central banks with the application of modern portfolio theory in the investment economy. We use the learning analytics together…
Study investigates ruin probability with random premiums and risky investments.
problem Ruin probability with random premiums and risky investments.
method Laplace transform applied to a model with geometric Brownian motion.
result Asymptotic behavior of ruin probability for large initial capital values.
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.
We reprove a result concerning certain ruin in the classical problem of the probability of ruin with risky investments and several of it's generalisations. We also provide the combined transition density of the risk and investment processes in the diffusion case.
Optimizes investment strategies for retirees with longevity risk.
problem Maximizing retirement savings under longevity risk for a group of investors.
method Analytic and numerical solutions for investment strategies in both discrete and continuous time models.
result Analytic formulae for optimal investment strategies in both discrete and continuous time models.
Investment strategy for DC pension plan with inflation risk and tail VaR constraint.
problem Maximizing terminal wealth for pension member with tail VaR constraint.
method Lagrange method and quantile optimization techniques.
result Optimal investment strategy and output in closed-form derived.
This paper solves optimal consumption-investment choices with wealth-driven risk aversion using neural networks.
problem Optimal consumption-investment choices under wealth-driven risk aversion.
method Neural network LSTM trained on jump-diffusion model data to optimize investment rate and consumption.
result Neural network approach shows promising results in solving the investment problem.
Study optimal investment under uncertain conditions.
problem Optimal investment in uncertain market conditions.
method Modelled Knightian uncertainty through multiple priors, solved using stochastic backward equations.
result Existence and uniqueness of optimal investment plan derived.
Investor optimizes stock investments with noisy future price signals.
problem Optimizing stock investments with uncertain future stock prices.
method Dynamic investment strategy with partial observation of Brownian motion.
result Closed-form solution for optimal investment problem.
We study optimal investment problems under the framework of cumulative prospect theory (CPT). A CPT investor makes investment decisions in a single-period financial market with transaction costs. The objective is to seek the optimal investment strategy that maximizes the prospect value of the investor's final wealth. W…
In the study of investment problem, aside from the investment risk the background risk appears. Both the investment risk and the background risk are probabilistically described by random variables. This paper starts from the hypothesis that the two types of risk can be represented both probabilistically (by random vari…
Optimal healthcare investment timing in a dynamic model with mortality risk.
problem Optimal timing of healthcare investment to reduce mortality risk.
method Dynamic framework, stochastic control, optimal stopping problem, dual transformation.
result Characterization of the optimal investment boundary and numerical solutions.
Previous studies into the budget constraint of portfolio optimization problems based on statistical mechanical informatics have not considered that the purchase cost per unit of each asset is distinct. Moreover, the fact that the optimal investment allocation differs depending on the size of investable funds has also b…
We consider the optimal investment problem for Black-Scholes type financial market with bounded VaR measure on the whole investment interval . The explicit form for the optimal strategies is found.
In this paper, we revisit the portfolio optimization problems of the minimization/maximization of investment risk under constraints of budget and investment concentration (primal problem) and the maximization/minimization of investment concentration under constraints of budget and investment risk (dual problem) for the…
Study optimal consumption and investment strategies with constraints in a market with random coefficients.
problem Optimal consumption and investment strategies with constraints in a regime switching market with random coefficients.
method Explicit optimal strategies provided via solutions to new BSDE systems.
result Solving new BSDEs to find optimal values and strategies.
Study optimal investment and consumption in incomplete markets with nonlinear expectations.
problem Utility maximization in incomplete markets with general constraints.
method Utilizes -martingale method to solve optimization problem for various utility functions.
result Characterizes optimal investment-consumption strategy through quadratic BSDE solutions.
Study optimal investment strategies for an insurer in two currency markets.
problem Maximizing expected exponential utility of terminal wealth for an insurer in two currency markets.
method Dynamic programming method applied to solve Hamilton-Jacobi-Bellman equations.
result Optimal investment strategies and value functions are derived.
Study consumption-investment problem in markets with rank-based returns.
problem Consumption-investment problem in markets with rank-based returns.
method Derives an HJB equation with Neumann boundary conditions for the value function and proves a corresponding verification theorem.
result Explicit solutions for unconstrained, open market constraints, and fully invested cases.
We derive a new equation for the optimal investment boundary of a general irreversible investment problem under exponential Lévy uncertainty. The problem is set as an infinite time-horizon, two-dimensional degenerate singular stochastic control problem. In line with the results recently obtained in a diffusive setting,…
The Infinite Horizon Investment-Consumption Problem for Epstein-Zin Stochastic Differential Utilityq-fin.MF
Investment and consumption strategy for risk-averse agents with Epstein-Zin utility.
problem Optimal investment and consumption strategy for Epstein-Zin utility.
method Detailed introduction to Epstein-Zin utility, existence and uniqueness proof, verification argument.
result Existence and uniqueness of optimal solution for Epstein-Zin utility under certain parameter restrictions.
Paper applies theorem to find optimal investment boundary in stochastic capacity expansion.
problem Finding optimal investment boundary in a stochastic, time-inhomogeneous capacity expansion problem.
method Applies Bank and El Karoui Representation Theorem to solve first order conditions involving a non-integral term.
result Existence of base capacity , showing optimal investment process becomes active at this level.
Investment and consumption strategy optimized under uncertain conditions.
problem Optimal investment and consumption under logarithmic utility and uncertainty model.
method Characterized using quadratic BSDE.
result Optimal solution found.
Study optimal investment under imitation of decision-changing rates.
problem Optimal investment under imitation of decision-changing rates.
method Proposed integral disparity to quantify imitation, derived general solution using variational method, analyzed asymptotic properties, validated with real data.
result Investor's optimal decisions under imitation of decision-changing rates.
In the present paper, the primal-dual problem consisting of the investment risk minimization problem and the expected return maximization problem in the mean-variance model is discussed using replica analysis. As a natural extension of the investment risk minimization problem under only a budget constraint that we anal…
Study optimal investment and reinsurance strategy for insurers under random coefficients.
problem Optimal mean-variance investment-reinsurance problem for insurers under Cramér-Lundberg model with random coefficients.
method Reduced to a constrained stochastic linear-quadratic control problem with jumps, solved using BSDE techniques and SREs.
result Explicit efficient investment-reinsurance strategy and mean-variance frontier.
Study optimizes insurance investment to maximize utility across all capital levels.
problem Maximizing expected utility across all capital levels in an insurance company's investment strategy.
method Dynamic Programming Principle and Hamilton-Jacobi-Bellman (HJB) equation to prove existence of optimal strategy.
result Existence of optimal investment strategy proven under certain conditions.
Investment strategy optimization from discrete to continuous models.
problem Optimizing investment strategies and stopping times in both continuous and discrete settings.
method Characterized value functions via quadratic reflected BSDEs for continuous case, discretized BSDEs for discrete case, and derived uniform convergence rates.
result Uniform convergence and rate from discrete to continuous quadratic reflected BSDEs.
Portfolio Optimization and the Random Magnet Problemcond-mat.stat-mech
Diversification of an investment into independently fluctuating assets reduces its risk. In reality, movement of assets are are mutually correlated and therefore knowledge of cross--correlations among asset price movements are of great importance. Our results support the possibility that the problem of finding an inves…
Derives explicit investment strategy with random endowment.
problem Optimal investment with random endowment in a market.
method Duality arguments to derive explicit expression for optimal strategy.
result Explicit expression for optimal trading strategy exists.
Model for optimal cybersecurity investment considering clustered cyberattacks.
problem Optimal investment in cybersecurity to reduce system vulnerability under clustered cyberattacks.
method Developed a continuous-time stochastic model using a Hawkes process, extended Gordon-Loeb model, solved as a Markovian stochastic optimal control problem.
result Investment policies that account for attack clustering lead to more effective and responsive strategies, improving upon static and Poisson-based approaches.
Study shows risk-averse investors have consistent ranking of risky assets.
problem Ranking of risky assets in short-term investments.
method Analyzes various decision problems regarding risky assets with continuous returns.
result Risk-averse decision makers have the same ranking over risky assets.
Investor optimizes investment and consumption under uncertain market conditions with constraints.
problem Investor optimizes investment and consumption in a stochastic environment with model uncertainty and constraints.
method Robust control problem solved using stochastic Hamilton-Jacobi-Bellman-Isaacs equations, backward stochastic differential equations, and bounded mean oscillation martingale theory.
result Investor incurs utility loss when ignoring model uncertainty, and constraints impact optimal strategy and value function.
In this paper, we study a time-inconsistent consumption-investment problem with random endowments in a possibly incomplete market under general discount functions. We provide a necessary condition and a verification theorem for an open-loop equilibrium consumption-investment pair in terms of a coupled forward-backward …
We establish when the two problems of minimizing a function of lifetime minimum wealth and of maximizing utility of lifetime consumption result in the same optimal investment strategy on a given open interval in wealth space. To answer this question, we equate the two investment strategies and show that if the indi…
Consumption-investment optimization with Epstein-Zin utility in unbounded non-Markovian marketsq-fin.MF
Investigates optimal consumption and investment strategies in non-Markovian markets with unbounded parameters.
problem Optimal consumption and investment strategies in non-Markovian markets with unbounded parameters.
method Martingale optimal principle and quadratic BSDEs with exponential moment.
result Establishes optimal strategies for consumption and investment.
What if we knew what the future brings? Optimal investment for a frontrunner with price impactq-fin.MF
Investor optimizes investment timing with future knowledge, overcoming transaction costs.
problem Optimal investment timing with future peeking, constrained by transaction costs.
method Solves control problem with infinite-dimensional memory using Gaussian Volterra integral equations.
result Explicit solution to optimal investment problem in Bachelier setting.
We study an optimal investment control problem for an insurance company. The surplus process follows the Cramer-Lundberg process with perturbation of a Brownian motion. The company can invest its surplus into a risk free asset and a Black-Scholes risky asset. The optimization objective is to minimize the probability of…
Paper solves investment strategy optimization with deep learning.
problem Maximizing investor utility with optimal asset allocation.
method Solves PDEs with Deep Galerkin method.
result Deep learning algorithm outperforms finite difference method.
Solves VaR-constrained portfolio optimization in markets with stochastic volatility.
problem Optimizing portfolio in markets with stochastic volatility under VaR constraints.
method Dynamic programming approach to Heston's stochastic volatility model.
result Optimal investment strategy linked to unconstrained problem via a vega-neutral derivative.
Study optimal investment and consumption strategies for competitive agents with habit formation.
problem Optimal investment and consumption strategies for competitive agents with habit formation.
method Formulated n-agent game problems and mean field game problems, derived mean field equilibrium, constructed approximate Nash equilibrium.
result Explicit convergence order of approximate Nash equilibrium can be obtained.
The paper solves a consumption-investment problem with state-dependent lower bounds.
problem A life-time consumption-investment problem with a state-dependent lower bound on consumption.
method Transformed the problem into a state-independent control problem to apply standard theory.
result Explicit optimal strategies provided for both homogeneous and non-homogeneous constraints.