arXiv research

Study shows non-replicable endowments can lead to unique price intervals.

In an incomplete market setting, we consider two financial agents, who wish to price and trade a non-replicable contingent claim. Assuming that the agents are utility maximizers, we propose a transaction price which is a result of the minimization of a convex combination of their utility differences. We call this price…

The abstract warns against flawed empirical research in machine learning.

Paper introduces non-linear discounting models for default compensation and climate valuation.

This papers addresses the stock option pricing problem in a continuous time market model where there are two stochastic tradable assets, and one of them is selected as a numéraire. It is shown that the presence of arbitrarily small stochastic deviations in the evolution of the numéraire process causes significant chang…

ERICA assesses replicability of cluster analysis results.

The paper examines fair pricing and hedging stability under small numéraire perturbations.

Study optimizes portfolio to minimize relative drawdown duration, penalizing unfavorable performance states.

New algorithm ensures consistent results in constrained MAB problems.

Derives explicit investment strategy with random endowment.

The paper improves generative models to avoid replicating observed examples.

In this paper we ask whether, given a stock market and an illiquid derivative, there exists arbitrage-free prices at which an utility-maximizing agent would always want to buy the derivative, irrespectively of his own initial endowment of derivatives and cash. We prove that this is false for any given investor if one c…

Study utility maximization with random endowment and costs, proving duality and constructing shadow market.

In this paper, we study the problem of expected utility maximization of an agent who, in addition to an initial capital, receives random endowments at maturity. Contrary to previous studies, we treat as the variables of the optimization problem not only the initial capital but also the number of units of the random end…

New uniformity tester ensures consistent results across different samples.

New method for dynamic valuation in markets with random endowments.

We prove that the group D^r(R) of C^r diffeomorphisms of the real line, endowed with the compact-open and Whitney C^r topologies, is bihomeomorphic to the group H(R) of homeomorphisms of the real line endowed with the compact-open and Whitney topologies. This implies that the diffeomorphism group D^r(R) endowed with th…

The paper presents formulas for valuing debt and equity in interconnected firms with comonotonic endowments.

We consider a problem of optimal investment with intermediate consumption and random endowment in an incomplete semimartingale model of a financial market. We establish the key assertions of the utility maximization theory assuming that both primal and dual value functions are finite in the interiors of their domains a…

The subject of this paper is an optimal consumption/optimal portfolio problem with transaction costs and with multiple risky assets. In our model the transaction costs take a special form in that transaction costs on purchases of one of the risky assets (the endowed asset) are infinite, and transaction costs involving …

Investor optimizes wealth in a market with non-traded endowment, deriving expansions up to second order.

Investor optimizes worst case exponential utility in uncertain markets with unbounded endowments.

In this paper, we consider a numéraire-based utility maximization problem under constant proportional transaction costs and random endowment. Assuming that the agent cannot short sell assets and is endowed with a strictly positive contingent claim, a primal optimizer of this utility maximization problem exists. Moreove…

We prove that for any non-compact connected surface $M$ the group $H_c(M)$ of compactly suported homeomorphisms of $M$ endowed with the Whitney topology is homeomorphic to $R^\infty\times l_2$ or $Z\times R^\infty\times l_2$.

We study the J-invariant and J-anti-invariant cohomological subgroups of the de Rham cohomology of a compact manifold M endowed with an almost-Kähler structure (J, ω, g). In particular, almost-Kähler manifolds satisfying a Lefschetz type property, and solvmanifolds endowed with left-invariant almost-complex structures …

Study of minimal surfaces in 3D space with special connections.

Classifies surfaces with a special direction in 4D space.

This study analyzes relationships between factor endowments and commodity outputs in a trade model.

Given the Euclidean space $\R^{2n+2}$ endowed with a constant symplectic structure and the standard flat connection, and given a polynomial of degree 2 on that space, Baguis and Cahen have defined a reduction procedure which yields a symplectic manifold endowed with a Ricci-type connection. We observe that any symplect…

In recent years, a market for mortality derivatives began developing as a way to handle systematic mortality risk, which is inherent in life insurance and annuity contracts. Systematic mortality risk is due to the uncertain development of future mortality intensities, or {\it hazard rates}. In this paper, we develop a …

Since their introduction by Thurston, geodesic laminations on hyperbolic surfaces occur in many contexts. In this paper, we propose a generalization of geodesic laminations on locally CAT(0), complete, geodesic metric spaces, whose boundary at infinity of the universal cover is endowed with a invariant total cyclic ord…

A hermitian algebra is a unital associative ${\mathbb C}$-algebra endowed with an involution such that the spectra of self-adjoint elements are contained in ${\mathbb R}$. In the case of an algebra ${\mathcal A}$ endowed with a Mackey-complete, locally convex topology such that the set of invertible elements is open an…

Study describes isometry groups of specific Lie groups.

Study on geodesics in Kropina metrics with applications.

In this paper we deal with some properties of a class of semi-Riemannian submersions between manifolds endowed with paraquaternionic structures, proving a result of non-existence of paraquaternionic submersions between paraquaternionic Kähler non locally hyper paraKähler manifolds. Then we examine, as an example, the c…

AutoML enhances clinical metabolic profiling by adjusting for confounders.

Dynamic pricing model considers ambiguity in endowment growth rate.

The paper studies affine manifolds with linear foliations and their topological properties.

We study the geometry of a family of Lie groups, which contained the classical affine Lie groups, endowed with an exact left invariant symplectic form. We show that this family is closed by symplectic reduction and symplectic double extension in the sense of Dardié and Medina. We prouve also that these groups are endow…

This paper studies the utility maximization on the terminal wealth with random endowments and proportional transaction costs. To deal with unbounded random payoffs from some illiquid claims, we propose to work with the acceptable portfolios defined via the consistent price system (CPS) such that the liquidation value p…

Let (M,w,L) be a symplectic manifold endowed with a lagrangian foliation L. Liberman and Weinstein have shown that the leaves of L are endowed with an affine structure. In this paper we provide links between the theories of affine manifolds and symplectic geometry. Using the work of Donaldson who have shown the existen…

There are three types of hypersurfaces in a pseudoconformal space C^n_1 of Lorentzian signature: spacelike, timelike, and lightlike. These three types of hypersurfaces are considered in parallel. Spacelike hypersurfaces are endowed with a proper conformal structure, and timelike hypersurfaces are endowed with a conform…

This is a survey on bi-Lagrangian manifolds, which are symplectic manifolds endowed with two transversal Lagrangian foliations. We also study the non-integrable case (i.e., a symplectic manifold endowed with two transversal Lagrangian distributions). We show that many different geometric structures can be attached to t…

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…

Symplectic forms taming complex structures on compact manifolds are strictly related to Hermitian metrics having the fundamental form $\partial \bar \partial$-closed, i.e. to strong Kähler with torsion (${\rm SKT}$) metrics. It is still an open problem to exhibit a compact example of a complex manifold having a tamed …

Let $G/K$ be a simply connected spin compact inner irreducible symmetric space, endowed with the metric induced by the Killing form of $G$ sign-changed. We give a formula for the square of the first eigenvalue of the Dirac operator in terms of a root system of $G$. As an example of application, we give the list of the …

Study on plane curves with special connections and curvatures.

Study on G2-manifolds shows automorphism group is abelian.