On-device research index

arXiv research

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.

168,742 papers · 148 categories

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6 results for “revenue-risk”

Statistical Learning with Sublinear Regret of Propagator Modelsq-fin.TR

Algorithm maximizes revenue-risk by estimating price impact kernel and optimizing control problems.

problem Maximizing revenue-risk in a risky asset liquidation with unknown price impact.

method Alternates exploration and exploitation phases, uses novel kernel estimation and stability results.

result Sublinear regret achieved with high probability.

revenue-risk price impact convolution propagator sublinear regret kernel estimation

2023-01-12abs ↗pdf ↗

Near-Optimal MNL Bandits Under Risk Criteriacs.LG

New algorithms minimize risk in MNL bandits, achieving near-optimal performance.

problem Minimizing risk in multi-armed bandit problems.

method Designing algorithms for various risk criteria (e.g., CVaR, Sharpe ratio, entropy risk).

result Near-optimal regret for the designed algorithms.

MNL bandits risk criteria regret minimization conditional value-at-risk Sharpe ratio

2020-09-26abs ↗pdf ↗

Optimal Liquidation with Signals: the General Propagator Caseq-fin.TR

Optimal liquidation strategy with price impact and signal exploitation.

problem Maximizing revenue-risk in a market with transient and temporary price impact.

method Infinite dimensional stochastic control approach, backward stochastic differential equation, operator-valued Riccati equation.

result Explicit expression for the optimal trading strategy.

Optimal liquidation Price impact Signal exploitation Volterra propagator Stochastic control

2022-11-01abs ↗pdf ↗

Optimal Portfolio Choice with Cross-Impact Propagatorsq-fin.PM

Optimal portfolio choice with cross-impact propagators, solving complex equations.

problem Maximizing revenue-risk in a continuous-time portfolio choice problem with cross-impact.

method Formulated as a maximization problem, solved explicitly using operator resolvents and stochastic Fredholm equations.

result Sufficient conditions for the absence of price manipulation, providing financial insights.

portfolio choice optimal execution cross-impact Volterra propagator operator resolvents

2024-03-15abs ↗pdf ↗

Risk management of guaranteed minimum maturity benefits under stochastic mortality and regime-switching by Fourier space time-stepping frameworkq-fin.PR

Paper assesses GMMB in VAs using FST for accurate net liability calculations.

problem Risk management of GMMB under stochastic mortality and regime-switching.

method Net liability model with FST algorithm for accurate numeric solutions.

result FST algorithm provides reliable results for net liability of GMMB.

GMMB Variable Annuity Stochastic Mortality Regime-Switching Fourier Space Time-stepping

2020-06-28abs ↗pdf ↗

Which Factors Matter Most? Can Startup Valuation be Micro-Targeted?q-fin.GN

Study reveals which startup valuation factors are most critical.

problem Understanding the complex factors influencing startup valuations.

method Hierarchical prediction models using decision trees and random forests.

result Identifies which factors most significantly impact startup valuations.

startup valuation factor hierarchy data-scientists fixed effects random forests

2022-10-26abs ↗pdf ↗