arXiv research

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

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…

For a stochastic factor model we maximize the long-term growth rate of robust expected power utility with parameter $λ\in(0,1)$. Using duality methods the problem is reformulated as an infinite time horizon, risk-sensitive control problem. Our results characterize the optimal growth rate, an optimal long-term trading s…

Improved growth strategies by incorporating stochastic factors in asset returns.

Abstract Coxeter groups have growth rates that are Perron numbers.

This paper tackles robust growth maximization with stochastic factors, finding optimal strategies independent of the factor process.

The twentieth century was a period of outstanding economic growth together with an unequal income distribution. This paper analyses the international distribution of growth rates and its dynamics during the twentieth century. We show that the whole century is characterized by a high heterogeneity in the distribution of…

Growth rates of geodesics on modular orbifolds are studied.

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

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

Kelly investing improved with options to reduce estimation risk.

Study optimizes growth rate for investors with long-only constraints.

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

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…

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.

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

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…

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

Study on Monge-Ampère equations with polynomial growth rates.

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

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…

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

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.

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…

We provide a lower bound for the uniform exponential growth rate of closed nonflat nonpositively curved 3-manifold groups. A detailed study of the uniform exponential growth rate of closed 3-manifold groups is also presented.

We study arithmetic properties of the growth rates of cofinite 3-dimensional hyperbolic Coxeter groups whose dihedral angles are of the form $\fracπ{m}$ for $m=2,3,4,5,6$ and show that the growth rates are always Perron numbers.

The paper discusses the role of monetary policy when potential output depends on the inflation rate. If the intention of the central bank is to maximize actual output growth, then it has to be credibly committed to a strict inflation targeting rule, and to take the MOGIR (the Maximizing Output Growth Inflation Rate) as…

In this paper we consider the growth rates of 3-dimensional hyperbolic Coxeter polyhedra some of its dihedral angles are $\fracπ{m}$ for $m\geq{7}$. By combining with the classical result by Parry \cite{Pa} and the main result of \cite{Y}, we prove that the growth rates of 3-dimensional hyperbolic Coxeter groups are Pe…

Effects of randomness on non-integer power law tails in multiplicatively interacting stochastic processes are investigated theoretically. Generally, randomness causes decrease of the exponent of tails and the growth rate of processes. Explicit calculations are performed for two examples: uniformly distributed and two p…

Revisits granular models explaining firm growth rates and sizes.

Paper proves volume growth estimate for steady gradient Ricci solitons.

We have recently introduced the ``thermal optimal path'' (TOP) method to investigate the real-time lead-lag structure between two time series. The TOP method consists in searching for a robust noise-averaged optimal path of the distance matrix along which the two time series have the greatest similarity. Here, we gener…

We introduce a new statistical test of the hypothesis that a balanced panel of firms have the same growth rate distribution or, more generally, that they share the same functional form of growth rate distribution. We applied the test to European Union and US publicly quoted manufacturing firms data, considering functio…

We introduce a simple agent-based model which allows us to analyze three stylized facts: a fat-tailed size distribution of companies, a `tent-shaped' growth rate distribution, the scaling relation of the growth rate variance with firm size, and the causality between them. This is achieved under the simple hypothesis th…

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…

Galor discovered many mysteries of the growth process. He lists them in his Unified Growth Theory and wonders how they can be explained. Close inspection of his mysteries reveals that they are of his own creation. They do not exist. He created them by his habitually distorted presentation of data. One of his self-creat…

Enhanced Gordon growth model for valuing financial products.

Proves minimal growth rate for Coxeter groups in hyperbolic space.

We study the set G of growth rates of of ideal Coxeter groups in hyperbolic 3-space which consists of real algebraic integers greater than 1. We show that (1) G is unbounded above while it has the minimum, (2) any element of G is a Perron number, and (3) growth rates of of ideal Coxeter groups with $n$ generators are l…

We present an explicit sequence of pseudo-Anosov maps $φ_k: S_{2k}\to S_{2k}$ of surfaces of genus $2k$ whose growth rates converge to one.