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.
Theory integrates loss aversion into expected utility for monetary returns.
Optimizes portfolios with utility theory, diversification, and leverage.
Paper develops duality theory for robust utility maximization in continuous time.
New theory extends rank-dependent utility for risk and ambiguity.
The paper solves a utility-based hedging problem with quadratic costs.
Paper establishes utility theory for synthetic data generation.
Diversification represents the idea of choosing variety over uniformity. Within the theory of choice, desirability of diversification is axiomatized as preference for a convex combination of choices that are equivalently ranked. This corresponds to the notion of risk aversion when one assumes the von-Neumann-Morgenster…
The main goal of this paper is presentation a modern axiomatic approach to financial arithmetic. At the first, the axiomatic financial arithmetic theory was proposed by Peccati who has introduced the axiomatic definition of the future value. This theory has been extensively developed in past years. Proposed approach to…
AGI modifies utility function to cooperate, conflicting with orthogonality thesis.
We solve a continuous-time game-theoretic problem for Kihlstrom-Mirman preferences.
Optimizes portfolios using CPT utility via convex optimization.
We pursue an inverse approach to utility theory and consumption & investment problems. Instead of specifying an agent's utility function and deriving her actions, we assume we observe her actions (i.e. her consumption and investment strategies) and ask if it is possible to derive a utility function for which the observ…
Novel framework for portfolio selection considering utility and risk.
The influence of additional information on the decision making of agents, who are interacting members of a society, is analyzed within the mathematical framework based on the use of quantum probabilities. The introduction of social interactions, which influence the decisions of individual agents, leads to a generalizat…
Paper introduces v-CMC linking causality and utility.
This study proves new financial market theorems breaking standard risk definitions.
Gambles are random variables that model possible changes in monetary wealth. Classic decision theory transforms money into utility through a utility function and defines the value of a gamble as the expectation value of utility changes. Utility functions aim to capture individual psychological characteristics, but thei…
Paper formalizes Simon's satisficing through FFSD, proving its equivalence to expected utility theory.
Formalizes vNM utility theorem using Lean 4, proving existence and uniqueness.
Random utility theory models an agent's preferences on alternatives by drawing a real-valued score on each alternative (typically independently) from a parameterized distribution, and then ranking the alternatives according to scores. A special case that has received significant attention is the Plackett-Luce model, fo…
Utility and risk are two often competing measurements on the investment success. We show that efficient trade-off between these two measurements for investment portfolios happens, in general, on a convex curve in the two dimensional space of utility and risk. This is a rather general pattern. The modern portfolio theor…
Possibilistic risk theory starts from the hypothesis that risk is modelled by fuzzy numbers. In particular, in a possibilistic portfolio choice problem, the return of a risky asset will be a fuzzy number. The expected utility operators have been introduced in a previous paper to build an abstract theory of possibilisti…
The study examines higher-order modern portfolio theory with complex critical points and feasible portfolio variety.
In this paper we will provide a representation of the penalty term of general dynamic concave utilities (hence of dynamic convex risk measures) by applying the theory of g-expectations.
Most decision theories, including expected utility theory, rank dependent utility theory and cumulative prospect theory, assume that investors are only interested in the distribution of returns and not in the states of the economy in which income is received. Optimal payoffs have their lowest outcomes when the economy …
Study preferences over uncertain time payments, finds growth-optimality better than expected utility theory.
New approach to optimal income tax theory tackles inequity issues.
Active inference minimizes expected free energy for optimal behavior.
A classical portfolio theory deals with finding the optimal proportion in which an agent invests a wealth in a risk-free asset and a probabilistic risky asset. Formulating and solving the problem depend on how the risk is represented and how, combined with the utility function defines a notion of expected utility. In t…
The background for the general mathematical link between utility and information theory investigated in this paper is a simple financial market model with two kinds of small traders: less informed traders and insiders, whose extra information is represented by an enlargement of the other agents' filtration. The expecte…
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…
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 …
The paper tackles optimal policy learning with asymmetric counterfactual utilities in healthcare decisions.
Solves utility maximization for delayed informed investors.
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 …
We introduce a recoupling theory for virtual braided trees. This recoupling theory can be utilized to incorporate swap gates into anyonic models of quantum computation.
We consider an arbitrage-free, discrete time and frictionless market. We prove that an investor maximising the expected utility of her terminal wealth can always find an optimal investment strategy provided that her dissatisfaction of infinite losses is infinite and her utility function is non-decreasing, continuous an…
In the large financial market, which is described by a model with countably many traded assets, we formulate the problem of the expected utility maximization. Assuming that the preferences of an economic agent are modeled with a stochastic utility and that the consumption occurs according to a stochastic clock, we obta…
Bayesian decision theory outlines a rigorous framework for making optimal decisions based on maximizing expected utility over a model posterior. However, practitioners often do not have access to the full posterior and resort to approximate inference strategies. In such cases, taking the eventual decision-making task i…
Under expected utility the local index of absolute risk aversion has played a central role in many applications. Besides, its link with the "global" concepts of the risk and probability premia has reinforced its attractiveness. This paper shows that, with an appropriate approach, similar developments can be achieved in…
Extends SORTE to multivariate risk functions.
The expected utility operators introduced in a previous paper, offer a framework for a general risk aversion theory, in which risk is modelled by a fuzzy number . In this paper we formulate a coinsurance problem in the possibilistic setting defined by an expected utility operator . Some properties of the optimal …
We maximize the expected utility of terminal wealth in an incomplete market where there are cone constraints on the investor's portfolio process and the utility function is not assumed to be strictly concave or differentiable. We establish the existence of the optimal solutions to the primal and dual problems and their…
The paper solves an insurance problem using mean-variance and rank-dependent utility theory.
This article focuses on the work of O. Chanel and G. Chichilnisky (2013) on the flaws of expected utility theory while assessing the value of life. Expected utility is a fundamental tool in decision theory. However, it does not fit with the experimental results when it comes to catastrophic outcomes ---see, for example…
Tutorials on preference learning with Gaussian Processes.
New PFPPs based on rank-dependent utility for better performance control.
The purpose of this paper relies on the study of long term yield curves modeling. Inspired by the economic litterature, it provides a financial interpretation of the Ramsey rule that links discount rate and marginal utility of aggregate optimal consumption. For such a long maturity modelization, the possibility of adju…