arXiv research

Optimizes portfolio growth rate for a behavioral investor considering terminal relative growth rate.

Study growth rates of subgroups in groups with a constricting element.

Mathematical study of excess growth rate connects info theory with finance.

We prove that for a relatively hyperbolic group G there is a sequence of relatively hyperbolic proper quotients such that their growth rates converge to the growth rate of G. Under natural assumptions, the same conclusion holds for the critical exponent of a cusp-uniform action of G on a hyperbolic metric space. As a c…

Bubbles are essential in certain economic models with high growth and low interest rates.

We consider the problem of robustly maximizing the growth rate of investor wealth in the presence of model uncertainty. Possible models are all those under which the assets' region $E$ and instantaneous covariation $c$ are known, and where additionally the assets are stable in that their occupancy time measures converg…

We consider a game-theoretic model of a market where investors compete for payoffs yielded by several assets. The main result consists in a proof of the existence and uniqueness of a strategy, called relative growth optimal, such that the logarithm of the share of its wealth in the total wealth of the market is a subma…

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…

Long-term relative arbitrage exists in markets where the excess growth rate of the market portfolio is bounded away from zero. Here it is shown that under a time-homogeneity hypothesis this condition will also imply the existence of relative arbitrage over arbitrarily short intervals.

Mathematical method based on a direct or indirect analysis of growth rates is described. It is shown how simple assumptions and a relatively easy analysis can be used to describe mathematically complicated trends and to predict growth. Only rudimentary knowledge of calculus is required. Projected trajectories based on …

Introduces relative information gain for improving Gaussian process regression rates.

Game theory model shows optimal investment strategy for wealth growth.

Abstract Coxeter groups have growth rates that are Perron numbers.

Study of manifolds with nonnegative Ricci curvature and slow relative volume growth.

Firm foundation theory estimates a security's firm fundamental value based on four determinants: expected growth rate, expected dividend payout, the market interest rate and the degree of risk. In contrast, other views of decision-making in the stock market, using alternatives such as human psychology and behavior, bou…

Markets composed of stocks with capitalization processes represented by positive continuous semimartingales are studied under the condition that the market excess growth rate is bounded away from zero. The following examples of these markets are given: i) a market with a singular covariance matrix and instantaneous rel…

Growth rates of geodesics on modular orbifolds are studied.

In order to investigate whether government regulations against corruption can affect the economic growth of a country, we analyze the dependence between Gross Domestic Product (GDP) per capita growth rates and changes in the Corruption Perceptions Index (CPI). For the period 1999-2004 on average for all countries in th…

New proof shows not all Salem numbers are growth rates of Coxeter groups.

In this paper, we study the Hausdorff dimension of the Floyd and Bowditch boundaries of a relatively hyperbolic group, and show that for the Floyd metric and shortcut metrics respectively, they are are both equal to a constant times the growth rate of the group. In the proof, we study a special class of conical points …

This paper analyzes the robust growth rate of leveraged ETFs under uncertain parameters.

Study confined subgroups in groups with contracting elements, showing their growth rate is strictly greater than half of the ambient growth rate.

A financial market comprising of a certain number of distinct companies is considered, and the following statement is proved: either a specific agent will surely beat the whole market unconditionally in the long run, or (and this "or" is not exclusive) all the capital of the market will accumulate in one company. Thus,…

We introduce and systematically study the concept of a growth tight action. This generalizes growth tightness for word metrics as initiated by Grigorchuk and de la Harpe. Given a finitely generated, non-elementary group $G$ acting on a $G$--space $\mathcal{X}$, we prove that if $G$ contains a strongly contracting eleme…

Growth rate of the world Growth Domestic Product (GDP) is analysed to determine possible pathways of the future economic growth. The analysis is based on using the latest data of the World Bank and it reveals that the growth rate between 1960 and 2014 was following a trajectory approaching asymptotically a constant val…

I unravel the basic long run dynamics of the broker call money market, which is the pile of cash that funds margin loans to retail clients (read: continuous time Kelly gamblers). Call money is assumed to supply itself perfectly inelastically, and to continuously reinvest all principal and interest. I show that the rela…

Pareto's law states that the distribution of personal income obeys a power-law in the high-income range, and has been supported by international observations. Researchers have proposed models over a century since its discovery. However, the dynamical nature of personal income has been little studied hitherto, mostly du…

The paper explores growth rates and Perron numbers in Coxeter systems with low-dimensional Davis complexes.

Study bounds growth rate of irreducible meanders, showing proportion vanishes.

Growth rate of real GDP per capita is represented as a sum of two components -- a monotonically decreasing economic trend and fluctuations related to a specific age population change. The economic trend is modeled by an inverse function of real GDP per capita with a numerator potentially constant for the largest develo…

Develops a new model-free approach to portfolio theory using rough paths.

This paper investigates the statistical properties of within-country GDP and industrial production (IP) growth rate distributions. Many empirical contributions have recently pointed out that cross-section growth rates of firms, industries and countries all follow Laplace distributions. In this work, we test whether als…

We present a quantitative characterisation of the fluctuations of the annualized growth rate of the real US GDP per capita growth at many scales, using a wavelet transform analysis of two data sets, quarterly data from 1947 to 2015 and annual data from 1800 to 2010. Our main finding is that the distribution of GDP grow…

Study on Monge-Ampère equations with polynomial growth rates.

Investigates the relationship between US money supply and asset indices over 2001-2019.

The growth of business firms is an example of a system of complex interacting units that resembles complex interacting systems in nature such as earthquakes. Remarkably, work in econophysics has provided evidence that the statistical properties of the growth of business firms follow the same sorts of power laws that ch…

We introduce a solvable model of randomly growing systems consisting of many independent subunits. Scaling relations and growth rate distributions in the limit of infinite subunits are analysed theoretically. Various types of scaling properties and distributions reported for growth rates of complex systems in a variety…

The paper tackles multi-armed bandits with vector losses, focusing on minimizing the $\ell^\infty$-norm of relative losses.

This paper solves the problem of optimal dynamic consumption, investment, and healthcare spending with isoelastic utility, when natural mortality grows exponentially to reflect Gompertz' law and investment opportunities are constant. Healthcare slows the natural growth of mortality, indirectly increasing utility from c…

Study finds minimum growth rate for surface solutions.

In [6], Kellerhals and Perren conjectured that the growth rates of the reflection groups given by hyperbolic Coxeter polyhedra are always Perron numbers. We prove that this conjecture is always true for the case of ideal Coxeter polyhedra in $\mathbb{H}^3$. We also find out the ideal Coxeter polyhedron in $\mathbb{H}^3…

The study examines how automorphism growth rates of a group can be deduced from its simpler decompositions.

Strict concavity proven for growth indicator function of certain groups.

Study growth rates of harmonic functions on curved surfaces.

In a previous paper the authors defined the growth rate of the tunnel number of knots, an invariant that measures that asymptotic behavior of the tunnel number under connected sum. In this paper we calculate the growth rate of the tunnel number of m-small knots in terms of their bridge indices.

In a previous paper Kobayashi and Rieck defined the growth rate of the tunnel number of a knot $K$, a knot invariant that measures the asymptotic behavior of the tunnel number under iterated connected sum of $K$. We denote the growth rate by $\mbox{gr}_t(K)$. In this paper we construct, for any $ε> 0$, a hyperbolic kno…

Zipf's law states that the number of firms with size greater than S is inversely proportional to S. Most explanations start with Gibrat's rule of proportional growth but require additional constraints. We show that Gibrat's rule, at all firm levels, yields Zipf's law under a balance condition between the effective grow…

Warning signs about the developing economic crisis in Greece were present in the growth rate of the Gross Domestic Product (GDP) and in the growth of the GDP well before the economic collapse. The growth rate was strongly unstable. On average, in less than 50 years, it decreased 10-folds but after reaching a low minimu…