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.
New model considers wealth and time affecting risk aversion in portfolio selection.
New optimization method for portfolio management maximizing wealth and utility with risk control.
The paper characterizes optimal dynamic portfolios for a modified mean-variance utility.
Optimal insurance contracts are designed to screen risk preferences and risk types under asymmetric information.
A new, computationally friendly formula for a class of risk-averse preferences.
The present paper provides a study of high-dimensional statistical arbitrage that combines factor models with the tools from stochastic control, obtaining closed-form optimal strategies which are both interpretable and computationally implementable in a high-dimensional setting. Our setup is based on a general statisti…
The paper introduces ESE scores for farmers to assess climate change risks.
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…
Optimal fees for G3Ms align LP value with market accuracy.