Portfolio choice under drift uncertainty: a Bayesian learning and stochastic...
This paper presents several models addressing optimal portfolio choice and optimal portfolio transition issues, in which the expected returns of risky assets are unknown. Our approach is based on a...
View ArticleThe Markowitz Category. (arXiv:1611.07741v1 [q-fin.PM])
We give an algebraic definition of a Markowitz market and classify markets up to isomorphism. Given this classification, the theory of portfolio optimization in Markowitz markets without short selling...
View ArticleCan Agent-Based Models Probe Market Microstructure?. (arXiv:1611.08510v1...
We extend prior evidence that naively using intraday agent-based models that involve realistic order-matching processes for modeling continuous-time double auction markets seems to fail to be able to...
View ArticleMean-Reverting Portfolio Design via Majorization-Minimization Method....
This paper considers the mean-reverting portfolio design problem arising from statistical arbitrage in the financial markets. The problem is formulated by optimizing a criterion characterizing the...
View ArticleThe 2015-2017 policy changes to the means-tests of Australian Age Pension:...
The Australian Government uses the means-test as a way of managing the pension budget. Changes in Age Pension policy impose difficulties in retirement modelling due to policy risk, but any major...
View ArticleMultiple Time Series Ising Model for Financial Market Simulations....
In this paper we propose an Ising model which simulates multiple financial time series. Our model introduces the interaction which couples to spins of other systems. Simulations from our model show...
View ArticleRough paths in idealized financial markets. (arXiv:1005.0279v3 [q-fin.GN]...
This paper considers possible price paths of a financial security in an idealized market. Its main result is that the variation index of typical price paths is at most 2, in this sense, typical price...
View ArticlePortfolio optimization near horizon. (arXiv:1611.09300v1 [math.PR])
Portfolio optimization is a well-known problem in mathematical finance concerned with selecting a portfolio which will maximize the expected terminal utility of an investor given today's information...
View ArticleOptimal stopping with f -expectations: the irregular case....
We consider the optimal stopping problem with non-linear f-expectation (induced by a BSDE) without making any regularity assumptions on the pay-off process $\xi$. We show that the value family can be...
View ArticleGeneralization of Doob Decomposition Theorem and Risk Assessment in...
In the paper, we introduce the notion of a local regular supermartingale relative to a convex set of equivalent measures and prove for it the necessary and sufficient conditions of optional Doob...
View ArticleCover's universal portfolio, stochastic portfolio theory and the numeraire...
Cover's celebrated theorem states that the long run yield of a properly chosen "universal" portfolio is as good as the long run yield of the best retrospectively chosen constant rebalanced portfolio....
View ArticleChoquet integral in decision analysis - lessons from the axiomatization....
The Choquet integral is a powerful aggregation operator which lists many well-known models as its special cases. We look at these special cases and provide their axiomatic analysis. In cases where an...
View ArticleThe Coconut Model with Heterogeneous Strategies and Learning....
In this paper, we develop an agent-based version of the Diamond search equilibrium model - also called Coconut Model. In this model, agents are faced with production decisions that have to be evaluated...
View ArticleMeasuring and Analyzing the Shares of Economic Growth Sources in the Mining...
The purpose of this study is to measure the Total Factor Productivity (TFP) growth and determine the share of each of the economic growth sources in the mining sector of Iran. The time period of this...
View ArticleA New Set of Financial Instruments. (arXiv:1612.00828v1 [q-fin.PR])
We develop a new method for hedging derivatives based on the premise that a hedger should not always rely on a universal set of trading instruments that are used to form a linear portfolio of the...
View ArticleA Market Driver Volatility Model via Policy Improvement Algorithm....
In the over-the-counter market in derivatives, we sometimes see large numbers of traders taking the same position and risk. When there is this kind of concentration in the market, the position impacts...
View ArticleOptimal consumption and investment under transaction costs....
In this article we consider the Merton problem in a market with a single risky asset and transaction costs. We give a complete solution of the problem up to the solution of a free-boundary problem for...
View ArticlePredicting the rise of right-wing populism in response to unbalanced...
Among the central tenets of globalization is free migration of labor. Although much has been written about its benefits, little is known about the limitations of globalization, including how...
View ArticleA multi-asset investment and consumption problem with transaction costs....
In this article we study a multi-asset version of the Merton investment and consumption problem with proportional transaction costs. In general it is difficult to make analytical progress towards a...
View ArticleA Primer on Portfolio Choice with Small Transaction Costs....
This survey is an introduction to asymptotic methods for portfolio-choice problems with small transaction costs. We outline how to derive the corresponding dynamic programming equations and simplify...
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