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.
In this paper, we consider the optimal portfolio liquidation problem under the dynamic mean-variance criterion and derive time-consistent solutions in three important models. We give adapted optimal strategies under a reconsidered mean-variance subject at any point in time. We get explicit trading strategies in the bas…
In this paper, we study an insurer's reinsurance-investment problem under a mean-variance criterion. We show that excess-loss is the unique equilibrium reinsurance strategy under a spectrally negative Lévy insurance model when the reinsurance premium is computed according to the expected value premium principle. Furthe…
It is well known that the out-of-sample performance of Markowitz's mean-variance portfolio criterion can be negatively affected by estimation errors in the mean and covariance. In this paper we address the problem by regularizing the mean-variance objective function with a weighted elastic net penalty. We show that the…
Investigates portfolio selection among competitive agents with mean-variance preferences.
problem Optimizing portfolios with multi-agent competition and relative wealth comparison.
method Reformulated as a constrained, non-homogeneous stochastic linear-quadratic control problem; derived optimal feedback strategies; used decoupling techniques and fixed-point theory to solve nonlinear BSDEs.
result Characterized three scenarios based on market and competition parameters: unique Nash equilibrium, no Nash equilibrium, or infinitely many Nash equilibria.
In Electricity markets, illiquidity, transaction costs and market price characteristics prevent managers to replicate exactly contracts. A residual risk is always present and the hedging strategy depends on a risk criterion chosen. We present an algorithm to hedge a position for a mean variance criterion taking into ac…
We consider an incomplete market with a nontradable stochastic factor and a continuous time investment problem with an optimality criterion based on monotone mean-variance preferences. We formulate it as a stochastic differential game problem and use Hamilton-Jacobi-Bellman-Isaacs equations to find an optimal investmen…
In this paper, we consider the asset-liability management under the mean-variance criterion. The financial market consists of a risk-free bond and a stock whose price process is modeled by a geometric Brownian motion. The liability of the investor is uncontrollable and is modeled by another geometric Brownian motion. W…
This paper is concerned with an optimal reinsurance and investment problem for an insurance firm under the criterion of mean-variance. The driving Brownian motion and the rate in return of the risky asset price dynamic equation cannot be directly observed. And the short-selling of stocks is prohibited. The problem is f…
Online learning has traditionally focused on the expected rewards. In this paper, a risk-averse online learning problem under the performance measure of the mean-variance of the rewards is studied. Both the bandit and full information settings are considered. The performance of several existing policies is analyzed, an…
In the paper, we consider three quadratic optimization problems which are frequently applied in portfolio theory, i.e, the Markowitz mean-variance problem as well as the problems based on the mean-variance utility function and the quadratic utility.Conditions are derived under which the solutions of these three optimiz…
The paper tackles mean-variance analysis in Bayesian optimization under uncertainty.
problem Optimizing decisions in uncertain environments considering trade-offs between average and variance of risk.
method Developed bounds for mean and variance risk measures in Gaussian Process models and proposed AL algorithms for multi-task, multi-objective, and constrained optimization scenarios.
result Proposed AL algorithms effectively address the mean-variance trade-off in uncertain optimization scenarios.
We consider the mean-variance hedging problem under partial Information. The underlying asset price process follows a continuous semimartingale and strategies have to be constructed when only part of the information in the market is available. We show that the initial mean variance hedging problem is equivalent to a ne…
Risk management in dynamic decision problems is a primary concern in many fields, including financial investment, autonomous driving, and healthcare. The mean-variance function is one of the most widely used objective functions in risk management due to its simplicity and interpretability. Existing algorithms for mean-…
We consider continuous-time mean-variance portfolio selection with bankruptcy prohibition under convex cone portfolio constraints. This is a long-standing and difficult problem not only because of its theoretical significance, but also for its practical importance. First of all, we transform the above problem into an e…
We give an explicit solution of robust mean-variance hedging problem in the single period model for some type of contingent claims. The alternative approach is also considered.