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.
Combines absolute and relative wealth in portfolio optimization with power utility functions.
Study shows bifurcation in optimal retirement planning.
Continuous-time mean-variance portfolio selection model with nonlinear wealth equations and bankruptcy prohibition is investigated by the dual method. A necessary and sufficient condition which the optimal terminal wealth satisfies is obtained through a terminal perturbation technique. It is also shown that the optimal…
This paper solves optimal consumption-investment choices with wealth-driven risk aversion using neural networks.
The paper analyzes how wealth affects investment strategies in incomplete markets.
Deep RL optimizes goal-based investing strategies.
The paper examines smoothness of value function in consumption-investment models with borrowing constraints.
A wealth-process set is abstractly defined to consist of nonnegative càdlàg processes containing a strictly positive semimartingale and satisfying an intuitive re-balancing property. Under the condition of absence of arbitrage of the first kind, it is established that all wealth processes are semimartingales and that t…
We assume that an individual invests in a financial market with one riskless and one risky asset, with the latter's price following geometric Brownian motion as in the Black-Scholes model. Under a constant rate of consumption, we find the optimal investment strategy for the individual who wishes to minimize the probabi…
We determine the optimal amount to invest in a Black-Scholes financial market for an individual who consumes at a rate equal to a constant proportion of her wealth and who wishes to minimize the expected time that her wealth spends in drawdown during her lifetime. Drawdown occurs when wealth is less than some fixed pro…
In a financial market model, we consider variations of the problem of minimizing the expected time to upcross a certain wealth level. For exponential Levy markets, we show the asymptotic optimality of the growth-optimal portfolio for the above problem and obtain tight bounds for the value function for any wealth level.…
Optimal asset allocation strategy outperforms stochastic benchmark.
We find the optimal investment strategy for an individual who seeks to minimize one of four objectives: (1) the probability that his wealth reaches a specified ruin level {\it before} death, (2) the probability that his wealth reaches that level {\it at} death, (3) the expectation of how low his wealth drops below a sp…
Game theory model shows optimal investment strategy for wealth growth.
Model optimal growth strategy in a market with short-lived assets.
New model considers wealth and time affecting risk aversion in portfolio selection.
Wealth redistribution through Fokker-Planck equation controls preserves Gini coefficient.
Optimal wealth strategy derived for jump-diffusion models with liabilities.
A note on setting swap parameters for traders.
Study resolves duality gap in optimal consumption with random income termination.
A financial market model with general semimartingale asset-price processes and where agents can only trade using no-short-sales strategies is considered. We show that wealth processes using continuous trading can be approximated very closely by wealth processes using simple combinations of buy-and-hold trading. This ap…
Study optimal portfolio choice with risk control for log-returns.
Optimized portfolio turnover strategies enhance wealth and reduce costs.
We solve optimal consumption in a market with bounded risk.
We study the Merton problem of optimal consumption-investment for the case of two investors sharing a final wealth. The typical example would be a husband and wife sharing a portfolio looking to optimize the expected utility of consumption and final wealth. Each agent has different utility function and discount factor.…
Study on wealth and trading in PoS blockchain.
Modeling consumption and investment decisions with reference point and drawdown constraints.
The paper analyzes optimal timing for converting wealth into annuities in the presence of a mortality shock.
We establish when the two problems of minimizing a function of lifetime minimum wealth and of maximizing utility of lifetime consumption result in the same optimal investment strategy on a given open interval in wealth space. To answer this question, we equate the two investment strategies and show that if the indi…
Online portfolio selection research has so far focused mainly on minimizing regret defined in terms of wealth growth. Practical financial decision making, however, is deeply concerned with both wealth and risk. We consider online learning of portfolios of stocks whose prices are governed by arbitrary (unknown) stationa…
We determine the optimal strategy for investing in a Black-Scholes market in order to maximize the probability that wealth at death meets a bequest goal , a type of goal-seeking problem, as pioneered by Dubins and Savage (1965, 1976). The individual consumes at a constant rate , so the level of wealth required fo…
We consider the terminal wealth utility maximization problem from the point of view of a portfolio manager who is paid by an incentive scheme, which is given as a convex function of the terminal wealth. The manager's own utility function is assumed to be smooth and strictly concave, however the resulting utilit…
Optimal strategies are found for a repeated betting game using diffusion approximation.
We investigate the ergodic problem of growth-rate maximization under a class of risk constraints in the context of incomplete, Itô-process models of financial markets with random ergodic coefficients. Including {\em value-at-risk} (VaR), {\em tail-value-at-risk} (TVaR), and {\em limited expected loss} (LEL), these cons…
We explore martingale and convex duality techniques to study optimal investment strategies that maximize expected risk-averse utility from consumption and terminal wealth. We consider a market model with jumps driven by (multivariate) marked point processes and so-called non-linear wealth dynamics which allows to take …
New optimization method for portfolio management maximizing wealth and utility with risk control.
We solve an optimal consumption problem with habit formation constraints.
Semi-analytical approach for optimal wealth management contributions.
This paper studies the continuous time mean-variance portfolio selection problem with one kind of non-linear wealth dynamics. To deal the expectation constraint, an auxiliary stochastic control problem is firstly solved by two new generalized stochastic Riccati equations from which a candidate portfolio in feedback for…
Investment strategies in occupational pension plans are optimized for non-tradable income risk.
Develops first closed-form portfolio formula for GARCH spot assets.
For an exponential utility maximizing investment strategy in a Black-Scholes Setting, fixed upper and lower constraints are introduced on the terminal wealth. This is equivalent to combining the optimal strategy with options. The resulting distribution is investigated in terms of change of quantiles. The theory is illu…
Optimizes fund manager's wealth with partial information on market risk.
Consider a family of portfolio strategies with the aim of achieving the asymptotic growth rate of the best one. The idea behind Cover's universal portfolio is to build a wealth-weighted average which can be viewed as a buy-and-hold portfolio of portfolios. When an optimal portfolio exists, the wealth-weighted average c…
Optimizes dynamic investment portfolios with correlated jumps.
We study optimal investment in a financial market having a finite number of assets from a signal processing perspective. We investigate how an investor should distribute capital over these assets and when he should reallocate the distribution of the funds over these assets to maximize the cumulative wealth over any inv…
In this paper we continue the study of Bian-Miao-Zheng (2011) and extend the results there to a more general class of utility functions which may be bounded and non-strictly-concave and show that there is a classical solution to the HJB equation with the dual control method. We then apply the results to study the effic…
We study the portfolio selection problem of a long-run investor who is maximising the asymptotic growth rate of her expected utility. We show that, somewhat surprisingly, it is essentially not affected by introduction of a floor constraint which requires the wealth process to dominate a given benchmark at all times. We…