On-device research index

arXiv research

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.

168,695 papers · 148 categories

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6 results for “martingale-duality”

Optimal portfolio under ratio-type periodic evaluation in incomplete markets with stochastic factorsq-fin.PM

This paper optimizes portfolio management in incomplete markets with stochastic factors, considering periodic wealth evaluations.

problem Optimizing portfolio performance in an incomplete market model with stochastic factors and periodic wealth evaluations.

method Developed a martingale duality approach to find optimal portfolio processes and dual minimizers.

result Established the existence of optimal portfolio processes and identified dual minimizers as the 'least favorable' market completion.

portfolio optimization incomplete markets stochastic factors periodic evaluation martingale duality

2024-01-26abs ↗pdf ↗

Optimal portfolio under ratio-type periodic evaluation in stochastic factor models under convex trading constraintsq-fin.MF

Study optimal portfolio management with periodic evaluations in stochastic models, considering convex constraints.

problem Optimal portfolio management under ratio-type periodic evaluations in stochastic factor models with convex trading constraints.

method Transformed infinite horizon optimal control problem into an auxiliary terminal wealth optimization problem. Introduced an auxiliary unconstrained optimization problem in a modified market model. Used martingale duality approach to establish dual minimizer and optimal unconstrained wealth process.

result Derived and verified the optimal constrained portfolio process for the original problem over an infinite horizon.

portfolio management stochastic factor models periodic evaluations convex constraints utility maximization

2024-11-15abs ↗pdf ↗

Preference-fitting Framework: Elicited Utility Function and PHARA Approximationq-fin.PM

A framework for eliciting utility functions from investor preferences.

problem Hard elicitation of specific utility functions in portfolio selection.

method Preference-fitting method using probability-wealth pairs and PHARA approximation.

result Fitted utility function converges to the optimal one as more data is used.

portfolio selection utility function PHARA approximation martingale-duality Value-at-Risk

2026-07-05abs ↗pdf ↗

A greedy algorithm for habit formation under multiplicative utilityq-fin.PM

Greedy algorithm optimizes consumption habits with power utility.

problem Optimizing lifetime consumption with habit formation under power utility.

method Developed a greedy algorithm using Monte Carlo simulation.

result Greedy solution is a good approximation to the optimal solution.

habit formation power utility greedy algorithm lifetime consumption Monte Carlo simulation

2023-05-08abs ↗pdf ↗

Optimal Retirement Time and Consumption with the Variation in Habitual Persistenceq-fin.MF

Study optimal retirement time and consumption with habitual persistence.

problem Understanding retirement consumption patterns with habitual persistence.

method Established concise habitual evolution, used martingale and duality methods.

result Optimal consumption declines sharply at retirement but excess consumption increases.

retirement consumption habitual persistence martingale duality optimal policy

2021-03-31abs ↗pdf ↗

Non-linear filtering and optimal investment under partial information for stochastic volatility modelsq-fin.PM

This paper studies the question of filtering and maximizing terminal wealth from expected utility in a partially information stochastic volatility models. The special features is that the only information available to the investor is the one generated by the asset prices, and the unobservable processes will be modeled …

2014-07-07abs ↗pdf ↗