Efficient Simulation Method for Dynamic Portfolio Selection with Transaction...
We develop an efficient method for solving dynamic portfolio selection problems in the presence of transaction cost, liquidity cost and market impact. Our method, based on least-squares Monte Carlo...
View ArticleMinimum spanning tree filtering of correlations for varying time scales and...
Based on a recently proposed $q$-dependent detrended cross-correlation coefficient $\rho_q$ (J.~Kwapie\'n, P.~O\'swi\k{e}cimka, S.~Dro\.zd\.z, Phys. Rev.~E 92, 052815 (2015)), we introduce a family of...
View ArticleA Comparison of Various Electricity Tariff Price Forecasting Techniques in...
It is very vital for suppliers and distributors to predict the deregulated electricity prices for creating their bidding strategies in the competitive market area. Pre requirement of succeeding in this...
View ArticleThe Fellowship of LIBOR: A Study of Spurious Interbank Correlations by the...
The manipulation of LIBOR by a group of banks became one of the major blows to the remaining confidence in financial industry. Yet, despite an enormous amount of popular literature on the subject,...
View ArticleShort term prediction of extreme returns based on the recurrence interval...
Being able to predict the occurrence of extreme returns is important in financial risk management. Using the distribution of recurrence intervals---the waiting time between consecutive extremes---we...
View ArticleOptimal Risk-Averse Timing of an Asset Sale: Trending vs Mean-Reverting Price...
This paper studies the optimal risk-averse timing to sell a risky asset. The investor's risk preference is described by the exponential, power, or log utility. Two stochastic models are considered for...
View ArticleCleaning large correlation matrices: tools from random matrix theory....
This review covers recent results concerning the estimation of large covariance matrices using tools from Random Matrix Theory (RMT). We introduce several RMT methods and analytical techniques, such as...
View ArticleExistence and uniqueness results for BSDEs with jumps: the whole nine yards....
This paper is devoted to obtaining a wellposedness result for multidimensional BSDEs with possibly unbounded random time horizon and driven by a general martingale in a filtration only assumed to...
View ArticleTheory of earthquakes interevent times applied to financial markets....
We analyze the probability density function (PDF) of waiting times between financial loss exceedances. The empirical PDFs are fitted with the self-excited Hawkes conditional Poisson process with a long...
View ArticleIncome and wealth distribution of the richest Norwegian individuals: An...
Using the empirical data from the Norwegian tax office, we analyse the wealth and income of the richest individuals in Norway during the period 2010--2013. We find that both annual income and wealth...
View ArticleAsymptotics for rough stochastic volatility models. (arXiv:1610.08878v1...
Using the large deviation principle (LDP) for a re-scaled fractional Brownian motion $B^H_t$ where the rate function is defined via the reproducing kernel Hilbert space, we compute small-time...
View ArticleAgnostic Risk Parity: Taming Known and Unknown-Unknowns. (arXiv:1610.08818v1...
Markowitz' celebrated optimal portfolio theory generally fails to deliver out-of-sample diversification. In this note, we propose a new portfolio construction strategy based on symmetry arguments only,...
View ArticleThe dual representation problem of risk measures. (arXiv:1610.08806v1...
The objective of this paper is to present a comprehensive study of the dual representation problem of risk measures and convex functionals on a Banach lattice $X$. Of particular interest is the case...
View ArticleIntrinsic risk measures. (arXiv:1610.08782v1 [q-fin.RM])
Monetary risk measures are usually interpreted as the smallest amount of external capital that must be added to a financial position to make it acceptable. We propose a new concept: intrinsic risk...
View ArticleEquity Market Impact Modeling: an Empirical Analysis for Chinese Market....
Market impact has become a subject of increasing concern among academics and industry experts. We put forward a price impact model which considers the heteroscedasticity of price in the time dimension...
View ArticleOn exponential functionals of processes with independent increments....
In this paper we study the exponential functionals of the processes $X$ with independent increments , namely$$I\_t= \int \_0^t\exp(-X\_s)ds, \_,\,\, t\geq 0,$$ and also$$I\_{\infty}= \int...
View Article$\kappa$-generalized models of income and wealth distributions: A survey....
The paper provides a survey of results related to the "$\kappa$-generalized distribution", a statistical model for the size distribution of income and wealth. Topics include, among others, discussion...
View ArticleUtility Maximization and Indifference Value under Risk and Information...
In this article we consider an optimization problem of expected utility maximization of continuous-time trading in a financial market. This trading is constrained by a benchmark for a utility-based...
View ArticlePortfolio Benchmarking under Drawdown Constraint and Stochastic Sharpe Ratio....
We consider an investor who seeks to maximize her expected utility derived from her terminal wealth relative to the maximum performance achieved over a fixed time horizon, and under a portfolio...
View ArticleCalls, zonoids, peacocks and log-concavity. (arXiv:1610.09306v1 [q-fin.MF])
The main results are two characterisations of log-concave densities in terms of the collection of lift zonoids corresponding to a peacock. These notions are recalled and connected to arbitrage-free...
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