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.
Study equilibrium consumption habits in a large population using mean field games.
This paper analyzes optimal consumption strategies for loss-averse investors with multiplicative habit formation.
Greedy algorithm optimizes consumption habits with power utility.
Paper offers a dual formulation for consumption problem with multiplicative habit.
Optimal investment and consumption model with habit formation constraint.
The paper optimizes retirement spending considering habit formation and pension income.
The "standard" Merton formulation of optimal investment and consumption involves optimizing the integrated lifetime utility of consumption, suitably discounted, together with the discounted future bequest. In this formulation the utility of consumption at any given time depends only on the amount consumed at that time.…
We solve an optimal consumption problem with habit formation constraints.
Model asset pricing with habit formation in a large market.
Study optimal investment and consumption strategies for competitive agents with habit formation.
This paper analyzes popular time-nonseparable utility functions that describe "habit formation" consumer preferences comparing current consumption with the time averaged past consumption of the same individual and "catching up with the Joneses" (CuJ) models comparing individual consumption with a cross-sectional averag…
We consider a model of optimal investment and consumption with both habit formation and partial observations in incomplete Itô processes market. The investor chooses his consumption under the addictive habits constraint while only observing the market stock prices but not the instantaneous rate of return. Applying the …
This paper studies the optimal consumption under the addictive habit formation preference in markets with transaction costs and unbounded random endowments. To model the proportional transaction costs, we adopt the Kabanov's multi-asset framework with a cash account. At the terminal time T, the investor can receive unb…
We consider a power utility maximization problem with additive habits in a framework of discrete-time markets and random endowments. For certain classes of incomplete markets, we establish estimates for the optimal consumption stream in terms of the aggregate state price density, investigate the asymptotic behaviour of…
This paper studies a composite problem involving the decision making of the optimal entry time and dynamic consumption afterwards. In stage-1, the investor has access to full market information subjecting to some information costs and needs to choose an optimal stopping time to initiate stage-2; in stage-2, the investo…
Unified framework explains retirement and annuitization decisions under age-dependent mortality.
We provide a detailed characterization of the optimal consumption stream for the additive habit-forming utility maximization problem, in a framework of general discrete-time incomplete markets and random endowments. This characterization allows us to derive the monotonicity and concavity of the optimal consumption as a…
This paper studies the continuous time utility maximization problem on consumption with addictive habit formation in incomplete semimartingale markets. Introducing the set of auxiliary state processes and the modified dual space, we embed our original problem into a time-separable utility maximization problem with a sh…
The paper analyzes optimal retirement strategies in a market with habit persistence and jump diffusion, finding discontinuous investment strategies.
In this paper, we work in the framework of the Merton problem but we impose a drawdown constraint on the consumption process. This means that consumption can never fall below a fixed proportion of the running maximum of past consumption. In terms of economic motivation, this constraint represents a type of habit format…
Many aspects of life are associated with places of human mobility patterns and nowadays we are facing an increase in the pervasiveness of mobile devices these individuals carry. Positioning technologies that serve these devices such as the cellular antenna (GSM networks), global navigation satellite systems (GPS), and …
We explore the efficacy of using a novel activation function in Artificial Neural Networks (ANN) in characterizing exoplanets into different classes. We call this Saha-Bora Activation Function (SBAF) as the motivation is derived from long standing understanding of using advanced calculus in modeling habitability score …
Proposes a new consumption strategy based on martingale principles.
The paper studies vector bundles over surfaces, focusing on singularity formation.
New data shows multiple black holes can form from modified vacuum data.
Paper proposes personalized climate control for driver comfort.
We study two kinds of economic exchange, additive and multiplicative, in a system of N agents. The work is divided in two parts, in the first one, the agents are free to interact with each other. The system evolves to a Boltzmann-Gibbs distribution with additive exchange and condenses with a multiplicative one. If bank…
We consider the motion by curvature of a network of curves in the plane and we discuss existence, uniqueness, singularity formation and asymptotic behavior of the flow.
Blended courses that mix in-person instruction with online platforms are increasingly popular in secondary education. These tools record a rich amount of data on students' study habits and social interactions. Prior research has shown that these metrics are correlated with students' performance in face to face classes.…
We present analytical exploration of novel activation functions as consequence of integration of several ideas leading to implementation and subsequent use in habitability classification of exoplanets. Neural networks, although a powerful engine in supervised methods, often require expensive tuning efforts for optimize…
Researchers create initial data for multiple collapsing boson stars.
The popularity of high and ultra-high definition displays has led to the need for methods to improve the quality of videos already obtained at much lower resolutions. Current Video Super-Resolution methods are not robust to mismatch between training and testing degradation models since they are trained against a single…
Although compelling assessments have been examined in recent years, more studies are required to yield a better understanding of the several methods where assessment techniques significantly affect student learning process. Most of the educational research in this area does not consider demographics data, differing met…
Develops asset pricing models with mean field game theory for heterogeneous agents.
New method explains classifiers trained on raw hierarchical data.
The study compares uniform-price and discriminatory auctions in terms of learning difficulty.
Constructs initial data for multiple black holes with specified ADM parameters.
FAL improves formation resistivity prediction from cased boreholes with noise resistance.
Extends geometrical description of tensor manifolds in tree-based formats.
While Convolutional Neural Networks (CNNs) trained for image and video super-resolution (SR) regularly achieve new state-of-the-art performance, they also suffer from significant drawbacks. One of their limitations is their lack of robustness to unseen image formation models during training. Other limitations include t…
Simulating fluid flow in geological formations requires mesh generation, lithology mapping to the cells, and computing geometric properties such as normal vectors and volume of cells. The purpose of this research work is to compute and process the geometrical information required for performing numerical simulations in…
Study singularity formation in Ricci flow solutions.
The paper models network formation using mixed logit models.
SoccerCPD detects tactical changes in soccer matches using spatiotemporal tracking data.
Deep learning calibrates CO2 storage formations from seismic and well data.
Study on diffeologies on locally convex spaces and smooth multiplication of distributions.
Extends ONNX for quantized neural networks with new formats and operators.
The equity risk premium puzzle is that the return on equities has far exceeded the average return on short-term risk-free debt and cannot be explained by conventional representative-agent consumption based equilibrium models. We review a few attempts done over the years to explain this anomaly: 1. Inclusion of highly u…