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.
Modeling reinsurance market, we find subgame perfect Nash equilibria.
We study an infinite-horizon discrete-time optimal stopping problem under non-exponential discounting. A new method, which we call the iterative approach, is developed to find subgame perfect Nash equilibria. When the discount function induces decreasing impatience, we establish the existence of an equilibrium through …
This paper considers the problem of consumption and investment in a financial market within a continuous time stochastic economy. The investor exhibits a change in the discount rate. The investment opportunities are a stock and a riskless account. The market coefficients and discount factor switch according to a finite…
Study optimal portfolio strategies with time-varying discount rates.
We consider the problem of portfolio optimization with a correlation constraint. The framework is the multiperiod stochastic financial market setting with one tradable stock, stochastic income and a non-tradable index. The correlation constraint is imposed on the portfolio and the non-tradable index at some benchmark t…
Paper tackles time inconsistency in portfolio management with stochastic volatility and power utility.
A moment constraint that limits the number of dividends in the optimal dividend problem is suggested. This leads to a new type of time-inconsistent stochastic impulse control problem. First, the optimal solution in the precommitment sense is derived. Second, the problem is formulated as an intrapersonal sequential dyna…
This paper considers the optimal portfolio selection problem in a dynamic multi-period stochastic framework with regime switching. The risk preferences are of exponential (CARA) type with an absolute coefficient of risk aversion which changes with the regime. The market model is incomplete and there are two risky asset…
A \emph{new} notion of equilibrium, which we call \emph{strong equilibrium}, is introduced for time-inconsistent stopping problems in continuous time. Compared to the existing notions introduced in ArXiv: 1502.03998 and ArXiv: 1709.05181, which in this paper are called \emph{mild equilibrium} and \emph{weak equilibrium…
Inspired by Strotz's consistent planning strategy, we formulate the infinite horizon mean-variance stopping problem as a subgame perfect Nash equilibrium in order to determine time consistent strategies with no regret. Equilibria among stopping times or randomized stopping times may not exist. This motivates us to cons…
In this paper we propose the notion of dynamic deviation measure, as a dynamic time-consistent extension of the (static) notion of deviation measure. To achieve time-consistency we require that a dynamic deviation measures satisfies a generalised conditional variance formula. We show that, under a domination condition,…
We consider a time-consistent mean-variance portfolio selection problem of an insurer and allow for the incorporation of basis (mortality) risk. The optimal solution is identified with a Nash subgame perfect equilibrium. We characterize an optimal strategy as solution of a system of partial integro-differential equatio…
Investment strategies for rank-dependent utility agents are derived in a continuous-time market.
An unconventional approach for optimal stopping under model ambiguity is introduced. Besides ambiguity itself, we take into account how ambiguity-averse an agent is. This inclusion of ambiguity attitude, via an -maxmin nonlinear expectation, renders the stopping problem time-inconsistent. We look for subgame perfect…
Paper tackles hidden game problem in AI alignment and language games.
In this paper we extend the investigation into the transition from sure to probabilistic sniping as introduced in Menkveld and Zoican \cite{mz2017}. In that paper, the authors introduce a stylized version of a competitive game in which high frequency traders (HFTs) interact with each other and liquidity traders. The au…
In this paper, we investigate the Merton portfolio management problem in the context of non-exponential discounting. This gives rise to time-inconsistency of the decision-maker. If the decision-maker at time t=0 can commit his/her successors, he/she can choose the policy that is optimal from his/her point of view, and …
Investor optimizes portfolio under dynamic risk preferences.
This paper investigates a hybrid stochastic differential reinsurance and investment game between one reinsurer and two insurers, including a stochastic Stackelberg differential subgame and a non-zero-sum stochastic differential subgame. The reinsurer, as the leader of the Stackelberg game, can price reinsurance premium…
The study examines perfect fluid spacetimes and their properties.
In his seminal 1951 paper "Extreme forms" Coxeter \cite{cox51} observed that for one can add vectors to the perfect lattice $\sfA_9$ so that the resulting perfect lattice, called $\sfA_9^2$ by Coxeter, has exactly the same set of minimal vectors. An inhomogeneous analog of the notion of perfect lattice is tha…
The study examines properties of perfect fluid spacetimes in Einstein's theory.
Algorithm decides if pseudo-Anosov flows have perfect fits.
Paper proves a rigidity result for static perfect fluids.
Paper introduces -Perfect to estimate model-human correlation in subjective datasets.
The notion of a locally continuously perfect group is introduced and studied. This notion generalizes locally smoothly perfect groups introduced by Haller and Teichmann. Next, we prove that the path connected identity component of the group of all homeomorphisms of a manifold is locally continuously perfect. The case o…
Study on static perfect fluid space-time geometry and boundary estimates.
We introduce the concept of hereditarily non uniformly perfect sets, compact sets for which no compact subset is uniformly perfect, and compare them with the following: Hausdorff dimension zero sets, logarithmic capacity zero sets, Lebesgue 2-dimensional measure zero sets, and porous sets. In particular, we give an exa…
Uniformly perfect Morse boundaries characterize geometric properties of groups.
Study mapping class groups of infinite type surfaces with noncompact boundaries.
The property of perfectness plays an important role in the theory of Bayesian networks. First, the existence of perfect distributions for arbitrary sets of variables and directed acyclic graphs implies that various methods for reading independence from the structure of the graph (e.g., Pearl, 1988; Lauritzen, Dawid, La…
The paper explores uniform perfectness and centers in Morse boundaries.
Knowing when a graphical model is perfect to a distribution is essential in order to relate separation in the graph to conditional independence in the distribution, and this is particularly important when performing inference from data. When the model is perfect, there is a one-to-one correspondence between conditional…
The paper finds conditions for pseudosymmetric spacetimes to be perfect fluids.
Given a lattice L of R^n, a polytope D is called a Delaunay polytope in L if the set of its vertices is S\cap L where S is a sphere having no lattice points in its interior. D is called perfect if the only ellipsoid in R^n that contains S\cap L is exactly S. For a vector v of the Leech lattice Λ_{24} we define Λ_{24}(v…
Finitely many pseudo-Anosov flows without perfect fits in a 3-manifold.
The paper studies geometric structures in perfect fluid spacetimes with specific metrics.
In this paper geometrical aspects of perfect fluid spacetime with torse-forming vector field ξare discribed and Ricci soliton in perfect fluid spacetime with torse-forming vector field ξare determined. Conditions for the Ricci soliton to be expanding, steady or shrinking are also given.
Study of -almost Yamabe solitons in perfect fluid spacetimes.
We obtain expressions for the shear and the vorticity tensors of perfect-fluid spacetimes, in terms of the divergence of the Weyl tensor. For such spacetimes, we prove that if the gradient of the energy density is parallel to the velocity, then either the expansion rate is zero, or the vorticity vanishes. This statemen…
We give new necessary and sufficient conditions on the Weyl tensor for generalized Robertson-Walker (GRW) space-times to be perfect-fluid space-times. For GRW space-times, we determine the form of the Ricci tensor in all the O(n)-invariant subspaces provided by Gray's decomposition of the gradient of the Ricci tensor. …
Perfect adaptation in systems is identified and tested using graphical tools.
Study shows instability of naked singularities in perfect fluid models.
We introduce a new cohomology theory for planar trivalent graphs with perfect matchings. The graded Euler characteristic of the cohomology is a one variable polynomial called the 2-factor polynomial that, if nonzero when evaluated at one, implies that the perfect matching is even and therefore the graph is 4-face color…
Every non-trivial knot group is fully residually perfect.
Study shows compact mapping class groups of infinite type surfaces are never perfect.
Paper proposes a perfect-fit model for CDO tranches.
Geometrical aspects of a perfect fluid spacetime are described in terms of different curvature tensors and -Ricci and -Einstein solitons in a perfect fluid spacetime are determined. Conditions for the Ricci soliton to be steady, expanding or shrinking are also given. In a particular case when the potential vector…