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.
The paper examines how loss aversion impacts multi-armed bandit decisions over long periods.
Theory integrates loss aversion into expected utility for monetary returns.
Study optimal consumption for loss-averse agents considering past spending peaks.
This paper analyzes optimal consumption strategies for loss-averse investors with multiplicative habit formation.
Study optimizes Bitcoin futures hedging to reduce liquidation risk.
Prospect theory is widely viewed as the best available descriptive model of how people evaluate risk in experimental settings. According to prospect theory, people are risk-averse with respect to gains and risk-seeking with respect to losses, a phenomenon called "loss aversion". Despite of the fact that prospect theory…
We provide an economic interpretation of the practice consisting in incorporating risk measures as constraints in a classic expected return maximization problem. For what we call the infimum of expectations class of risk measures, we show that if the decision maker (DM) maximizes the expectation of a random return unde…
We introduce a representation theory for risk operations on locally compact groups in a partition of unity on a topological manifold for Markowitz-Tversky-Kahneman (MTK) reference points. We identify (1) risk torsion induced by the flip rate for risk averse and risk seeking behaviour, and (2) a structure constant or co…
Study asset pricing with reference-dependent preferences, finding matching equity premia.
This paper develops a model of reference-dependent assessment of subjective beliefs in which loss-averse people optimally choose the expectation as the reference point to balance the current felicity from the optimistic anticipation and the future disappointment from the realisation. The choice of over-optimism or over…
We implement a market microstructure model including informed, uninformed and heuristic-driven investors, which latter behave in line with loss-aversion and mental accounting. We show that the probability of informed trading (PIN) varies significantly during 2008. In contrast, the probability of heuristic-driven tradin…
Negative user preference is an important context that is not sufficiently utilized by many existing recommender systems. This context is especially useful in scenarios where the cost of negative items is high for the users. In this work, we describe a new recommender algorithm that explicitly models negative user prefe…
We introduce an equilibrium asset pricing model, which we build on the relationship between a novel risk measure, the Expected Downside Risk (EDR) and the expected return. On the one hand, our proposed risk measure uses a nonparametric approach that allows us to get rid of any assumption on the distribution of returns.…
FinHEAR combines LLMs with human expertise for better financial decision-making.
Unified formula for optimal portfolio under piecewise hyperbolic risk aversion.
Study examines if LLMs' trading styles match real market behavior.
Investigates optimal PPI strategies in jump-diffusion models to mitigate downside risk.
The paper addresses human-like decision-making in multi-agent systems using bounded risk-sensitive Markov Games.