The paper clarifies long-horizon investment and DCA, showing no risk reduction but different exposure profiles.
problem Misleading claims about reducing risk with longer investment horizons and DCA.
method Unified probabilistic framework, defining risk and uncertainty, and introducing effective investment exposure.
result Different investment timing strategies can lead to distinct exposure profiles over time, affecting risk and uncertainty.
A new model minimizes investment risk at multiple time points.
problem Minimizing risk in investment portfolios with multiple stopping points.
method Developed a multi-time state mean-variance model using Riccati equations.
result Optimal investment strategies can be derived from a sequence of Riccati equations.
Study time-inconsistent consumption-investment in incomplete markets with general discount functions.
problem Time-inconsistent consumption-investment problems in incomplete markets.
method Coupled forward-backward stochastic differential equation approach.
result Uniqueness of open-loop equilibrium pair proved.
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…
Intangible investment becomes a strong predictor of stock returns over time.
problem Understanding the role of intangible investment in stock returns over different periods.
method Comparing intangible investment's predictive power over two distinct periods (1963-1992 and 1993-2022) using orthogonal factors.
result Intangible investment's predictive power for stock returns has significantly increased over time, becoming a main predictor for recent periods.
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 ly⋆(t), showing optimal investment process becomes active at this level. The paper analyzes Indian stock sectors using multifractal analysis for long and short-term investment.
problem Investment risk and stability in Indian stock sectors.
method Sector-wise multifractal analysis of Bombay Stock Exchange, India, over short and long time scales.
result Long-term investment in stable sectors is more profitable, while sectors with large fluctuations may lead to downturns.
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.
Enhances robo-advisors with client investment preference inference.
problem Accurately inferring clients' investment preferences from past activities.
method Stochastic control framework with continuous-time model and discounting scheme.
result Proves sufficient conditions for client investment preference identifiability.
The Kelly rule fails to maximize growth in a time-changed return setting.
problem Performance of the Kelly rule in a time-changed return process.
method Investigated the Kelly rule in a semi-martingale setting with a time change process.
result The Kelly rule does not maximize average growth rate in a non-normal log-return setting.
Paper uses time series transformers to predict investment success.
problem Optimizing investment sourcing in VC and GC.
method Transformer-based Multivariate Time Series Classifier (TMTSC).
result TMTSC improves decision making in VC and GC investments.
In this paper we study the asymptotic decay of finite time ruin probabilities for an insurance company that faces heavy-tailed claims, uses predictable investment strategies and makes investments in risky assets whose prices evolve according to quite general semimartingales. We show that the ruin problem corresponds to…
Even in the face of deteriorating and highly volatile demand, firms often invest in, rather than discard, aging technologies. In order to study this phenomenon, we model the firm's profit stream as a Brownian motion with negative drift. At each point in time, the firm can continue operations, or it can stop and exit th…
This paper revisits optimal investment strategies for defined contribution pension schemes using forward preferences.
problem Optimal investment strategies derived from backward models are not time-consistent and sub-optimal in real scenarios.
method Introduces forward preferences and solves optimal investment strategies for defined contribution pension schemes.
result Constructs optimal investment strategies for defined contribution pension schemes using forward preferences.
We find the optimal investment strategy to minimize the expected time that an individual's wealth stays below zero, the so-called {\it occupation time}. The individual consumes at a constant rate and invests in a Black-Scholes financial market consisting of one riskless and one risky asset, with the risky asset's price…
We investigate the growth optimal strategy over a finite time horizon for a stock and bond portfolio in an analytically solvable multiplicative Markovian market model. We show that the optimal strategy consists in holding the amount of capital invested in stocks within an interval around an ideal optimal investment. Th…
Investment decisions shift earlier as patience decreases, with implications for pasting conditions.
problem Investment timing under decreasing impatience.
method Game-theoretic framework with continuous-time capacity expansion problem.
result Decreasing impatience leads to earlier investment decisions, but can violate smooth pasting conditions.
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…
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.
Paper introduces dynamic strategies for multi-period investment models.
problem Optimizing investment strategies over multiple periods with risk and return considerations.
method Developed a Bellman principle for discrete time multi-period mean-variance models, leading to dynamic optimal strategies and efficient frontiers.
result Dynamic optimal strategies can achieve higher returns with lower risk compared to the 1/n strategy.
Maximizes probability of completing investment schedules with optimal portfolio weights.
problem Optimizing probability of completing investment schedules with optimal portfolio weights.
method Computing maximum probability and optimal portfolio weight functions for various rebalancing schedules.
result Noticeable improvements in probability to complete schedules with optimal portfolio weights.
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.
Optimal investment and risk control strategies for insurers are derived using a time-consistent approach.
problem Optimal investment and risk control for insurers under mean-variance criterion.
method Introducing a deterministic forward auxiliary process to formulate a time-consistent problem.
result Optimal strategy and value function obtained in closed-form for the new problem.
Upper bound on withdrawal success for geometric Levy alpha-stable wealth process.
problem Estimating the probability of completing a withdrawal schedule.
method Constructing a log-Levy alpha-stable lower bound and applying it to a schedule of withdrawals.
result Necessary conditions on initial investment and parameters for a 95% confidence of completing k withdrawals. Optimal investment strategy for a large, identical investor or pension fund.
problem Finding the best investment strategy for a large group of identical investors.
method Developed a numerical algorithm and derived an analytic formula for optimal consumption.
result Proved the model's validity for both large and small groups of investors.
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 introduce a new approach to incorporate uncertainty into the decision to invest in a commodity reserve. The investment is an irreversible one-off capital expenditure, after which the investor receives a stream of cashflow from extracting the commodity and selling it on the spot market. The investor is exposed to pri…
Researchers analyze optimal investment strategies for a collectivised pension fund with identical investors.
problem Optimizing investment strategies for a collectivised pension fund with identical investors.
method Analytical computation of optimal investment-consumption strategies for a fund of n identical investors with Epstein-Zin preferences.
result Constant consumption strategy is suboptimal for infinite collectives, suggesting annuities and defined benefit investments are suboptimal.
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.
Investment decisions can benefit from incorporating an accumulated knowledge of the past to drive future decision making. We introduce Continual Learning Augmentation (CLA) which is based on an explicit memory structure and a feed forward neural network (FFNN) base model and used to drive long term financial investment…
Any research on strategies for reaching business excellence aims at revealing the appropriate course of actions any executive should consider. Thus, discussions take place on how effective a performance measurement system can be estimated, or/and validated. Can one find an adequate measure (i) on the performance result…
Investment managers face harder choices in green stocks due to reduced performance variability.
problem Difficulty in deploying talent in green stocks due to reduced performance variability.
method Analysis of S&P 500 firms' greenhouse gas emission levels and peer performance ratios.
result Performance variability has decreased in green stocks, making it harder for managers to choose.
We review a resent {\em time-dependent} performance measure for economical time series -- the (optimal) investment horizon approach. For stock indices, the approach shows a pronounced gain-loss asymmetry that is {\em not} observed for the individual stocks that comprise the index. This difference may hint towards an sy…
New model considers wealth and time affecting risk aversion in portfolio selection.
problem Optimal investment strategy and consumption process depend on wealth and future income balance.
method Proposed a new mean-variance-utility framework with time and state-dependent risk aversion, solved using game theory.
result Equilibrium investment and consumption policies derived, aligning with investor behavior.
Argentum is a crypto coin for saving and investment in unstable countries.
problem Stable purchasing power for savings in unstable economies.
method Designing a crypto coin backed by investment instruments.
result Provides a stabilization instrument for savings in unstable economies.
Investment diversification affects financial stability, depending on network connectivity.
problem Analyzing stability of financial networks with diversified portfolios.
method Random matrix dynamical model with portfolio rebalancing, considering heterogeneity and diversification effects.
result Stability/instability transition depends on the largest eigenvalue of the random matrix.
Given a new candidate asset represented as a time series of returns, how should a quantitative investment manager be thinking about assessing its usefulness? This is a key qualitative question inherent to the investment process which we aim to make precise. We argue that the usefulness of an asset can only be determine…
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.
We consider an agent who invests in a stock and a money market account with the goal of maximizing the utility of his investment at the final time T in the presence of a proportional transaction cost. The utility function considered is power utility. We provide a heuristic and a rigorous derivation of the asymptotic ex…
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.
Strategic valuation of efficient and well-timed network investments under uncertain electricity market environment has become increasingly challenging, because there generally exist multiple interacting options in these investments, and failing to systematically consider these options can lead to decisions that underva…
Investment herding can reduce household consumption, a phenomenon called crowding-out effect.
problem Investment herding's impact on household consumption.
method Optimal control theory to model and solve for household investment and consumption decisions.
result Existence of crowding-out effect due to investment herding.
We provide easily verifiable conditions for the well-posedness of the optimal investment problem for a behavioral investor in an incomplete discrete-time multiperiod financial market model, for the first time in the literature. Under two different sets of assumptions we also establish the existence of optimal strategie…
The paper addresses optimal control in modern tontines with bequest preferences, showing a linear investment strategy.
problem Optimal controls and decreasing allocation in modern tontines with bequest preferences.
method Dual approach to solve optimal control problems with power utilities, modeling bequest preferences.
result Investment strategy almost linearly adjusts from 0% to 100% over time.
AI enhances quantitative investment for better returns and risk control.
problem Achieving stable returns through AI in quantitative investment.
method Application of AI technology in quantitative investment strategies.
result AI improves investment performance and risk management.
When we implement a portfolio selection methodology under a mean-risk formulation, it is essential to correctly model investors' risk aversion which may be time-dependent, or even state-dependent during the investment procedure. In this paper, we propose a behavior risk aversion model, which is a piecewise linear funct…
Kelly investing improved with options to reduce estimation risk.
problem Estimation risk in Kelly investing leads to suboptimal portfolios.
method Introduced European options into the Kelly framework in a binomial model.
result Constructed growth optimal portfolios robust to estimation risk.
Integrates ESG factors into Bachelier's model for asset pricing.
problem Incorporating ESG factors into classical finance models.
method Defines ESG price process and integrates into Bachelier's model.
result Enables option pricing valuation with ESG factors.