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.
Formalizes vNM utility theorem using Lean 4, proving existence and uniqueness.
A note on utility maximization with costs, proving trading strategies.
We study the convex duality method for robust utility maximization in the presence of a random endowment. When the underlying price process is a locally bounded semimartingale, we show that the fundamental duality relation holds true for a wide class of utility functions on the whole real line and unbounded random endo…
This study proves new financial market theorems breaking standard risk definitions.
Examines optimal risk sharing with realistic risk attitudes, finding risk seeking in certain subdomains.
We study the optimal investment problem for a continuous time incomplete market model such that the risk-free rate, the appreciation rates and the volatility of the stocks are all random; they are assumed to be independent from the driving Brownian motion, and they are supposed to be currently observable. It is shown t…
Theoretical limits on verifying self-improving systems without risking unbounded utility.
In this paper we study utility maximization with proportional transaction costs. Assuming extended weak convergence of the underlying processes we prove the convergence of the corresponding utility maximization problems. Moreover, we establish a limit theorem for the optimal trading strategies. The proofs are based on …
The Mutual Fund Theorem (MFT) is considered in a general semimartingale financial market S with a finite time horizon T, where agents maximize expected utility of terminal wealth. It is established that: 1) Let N be the wealth process of the numéraire portfolio (i.e. the optimal portfolio for the log utility). If any p…
Paper formalizes Simon's satisficing through FFSD, proving its equivalence to expected utility theory.
Paper uses algebraic methods to prove an equivariant Poincaré-Hopf theorem.
The paper calculates how fast optimal investment strategies approach CRRA strategies in stochastic factor models.
This paper studies stability of the exponential utility maximization when there are small variations on agent's utility function. Two settings are considered. First, in a general semimartingale model where random endowments are present, a sequence of utilities defined on R converges to the exponential utility. Under a …
We study utility maximization for power utility random fields with and without intermediate consumption in a general semimartingale model with closed portfolio constraints. We show that any optimal strategy leads to a solution of the corresponding Bellman equation. The optimal strategies are described pointwise in term…
In this paper we study a robust expected utility maximization problem with random endowment in discrete time. We give conditions under which an optimal strategy exists and derive a dual representation for the optimal utility. Our approach is based on a general representation result for monotone convex functionals, a fu…
Study optimizes option pricing with robust strategies, ensuring consistency with vanilla option prices.
The study proves a theorem for surfaces using Codazzi operators and investigates parallel mean curvature surfaces.
The Sampled Gaussian Mechanism's noise level decreases with larger subsampling rates, improving privacy-utility trade-offs.
Support selection and eventwise decoupling for simultaneous bets proven.
The paper resolves a counterexample showing convergence of expected utility in binomial models.
This is an exposition of a proof of the Madsen-Weiss Theorem, which asserts that the homology of mapping class groups of surfaces, in a stable dimension range, is isomorphic to the homology of a certain infinite loopspace that arises naturally when one applies the "scanning method". The proof given here utilizes simpli…
We present an optimal investment theorem for a currency exchange model with random and possibly discontinuous proportional transaction costs. The investor's preferences are represented by a multivariate utility function, allowing for simultaneous consumption of any prescribed selection of the currencies at a given term…
The effectiveness of utility-maximization techniques for portfolio management relies on our ability to estimate correctly the parameters of the dynamics of the underlying financial assets. In the setting of complete or incomplete financial markets, we investigate whether small perturbations of the market coefficient pr…
DSAC improves cooperative MARL with general utilities, converging faster than existing methods.
We offer mathematical tractability and new insights for a framework of exponential utility with non-negative consumption, a constraint often omitted in the literature giving rise to economically unviable solutions. Specifically, using the Kuhn-Tucker theorem and the notion of aggregate state price density (Malamud and …
We prove the existence of optimal strategies for agents with cumulative prospect theory preferences who trade in a continuous-time illiquid market, transcending known results which pertained only to risk-averse utility maximizers. The arguments exploit an extension of Skorohod's representation theorem for tight sequenc…
The study examines Nash equilibria in utility maximization games with multiplicative performance criteria.
We introduce a bond portfolio management theory based on foundations similar to those of stock portfolio management. A general continuous-time zero-coupon market is considered. The problem of optimal portfolios of zero-coupon bonds is solved for general utility functions, under a condition of no-arbitrage in the zero-c…
New method for RL with general utilities using variational policy gradient.
We consider noncompact complete manifolds with Spin(9) holonomy and proved an one end result and a splitting type theorem under different conditions on the bottom of the spectrum. We proved that any harmonic functions with finite Dirichlet integral must be Cayley-harmonic, which allowed us to conclude an one end result…
We give a new proof of Brakke's partial regularity theorem up to C^{1,ς} for weak varifold solutions of mean curvature flow by utilizing parabolic monotonicity formula, parabolic Lipschitz approximation and blow-up technique. The new proof extends to a general flow whose velocity is the sum of the mean curvature and an…
We consider a discrete time financial market with proportional transaction costs under model uncertainty, and study a numéraire-based semi-static utility maximization problem with an exponential utility preference. The randomization techniques recently developed in \cite{BDT17} allow us to transform the original proble…
We consider a spread financial market defined by the multidimensional Ornstein--Uhlenbeck (OU) process. We study the optimal consumption/investment problem for logarithmic utility functions in the base of stochastic dynamical programming method. We show a special Verification Theorem for this case. We find the solution…
In this paper we investigate a utility maximization problem with drift uncertainty in a multivariate continuous-time Black-Scholes type financial market which may be incomplete. We impose a constraint on the admissible strategies that prevents a pure bond investment and we include uncertainty by means of ellipsoidal un…
We first extend Cheeger-Colding Almost Splitting Theorem to smooth metric measure spaces. Arguments utilizing this extension of the Almost Splitting Theorem show that if a smooth metric measure space has almost nonnegative Bakry-Emery Ricci curvature and a lower bound on volume, then its fundamental group is almost abe…
The paper extends Merton's problem by adding benchmark tracking, finding optimal strategies.
Study optimizes insurance investment to maximize utility across all capital levels.
Investigates optimal consumption and investment strategies with constraints in incomplete markets.
New vanishing theorems for harmonic and pluriharmonic functions on Kähler and quaternionic Kähler manifolds.
Combination theorem for PGF groups helps in constructing new examples and understanding their geometry.
Study confirms Chern's conjecture on compact Hessian manifolds and classifies their topologies.
We investigate optimal consumption and investment problems for a Black-Scholes market under uniform restrictions on Value-at-Risk and Expected Shortfall. We formulate various utility maximization problems, which can be solved explicitly. We compare the optimal solutions in form of optimal value, optimal control and opt…
Proves effective linear volume growth for 3-manifolds with positive scalar curvature.
Study on statistical inference for nonlinear stochastic approximation with Markovian data.
This paper is part expository and part presentation of calculational results. The target space of the Kontsevich integral for knots is a space of diagrams; this space has various algebraic structures which are described here. These are utilized with Le's theorem on the behaviour of the Kontsevich integral under cabling…
We give characterizations of affine transformations and affine vector fields in terms of the spray. By utilizing the Jacobi type equation that characterizes affine vector fields, we prove some rigidity theorems of affine vector fields on compact or forward complete non-compact Finsler manifolds with non-positive total …
Theorem proves spectral rigidity of warped product metrics.
We generalize the results of [AS], finding large classes of totally geodesic Seifert surfaces in hyperbolic knot and link complements, each the lift of a rigid 2-orbifold embedded in some hyperbolic 3-orbifold. In addition, we provide a uniqueness theorem and demonstrate that many knots cannot possess totally geodesic …