Related papers: Optimal solution of investment problems via linear…
This paper considers the portfolio management problem of optimal investment, consumption and life insurance. We are concerned with time inconsistency of optimal strategies. Natural assumptions, like different discount rates for consumption…
We present a method for constructing the log-optimal portfolio using the well-calibrated forecasts of market values. Dawid's notion of calibration and the Blackwell approachability theorem are used for computing well-calibrated forecasts.…
This paper is focused on the optimization approach to the solution of inverse problems. We introduce a stochastic dynamical system in which the parameter-to-data map is embedded, with the goal of employing techniques from nonlinear Kalman…
State-space models can be used to incorporate subject knowledge on the underlying dynamics of a time series by the introduction of a latent Markov state-process. A user can specify the dynamics of this process together with how the state…
Assume (1) asset returns follow a stochastic multi-factor process with time-varying conditional expectations; (2) investments are linear functions of factors. This paper calculates asymptotic joint moments of the logarithm of investor's…
Kalman filtering has been traditionally applied in three application areas of estimation, state estimation, parameter estimation (a.k.a. model updating), and dual estimation. However, Kalman filter is often not sufficient when experimenting…
In this article, we study optimal investment and consumption in an incomplete stochastic factor model for a power utility investor on the infinite horizon. When the state space of the stochastic factor is finite, we give a complete…
In this paper we derive the exact solution of the multi-period portfolio choice problem for an exponential utility function under return predictability. It is assumed that the asset returns depend on predictable variables and that the joint…
In this work, we state a general conjecture on the solvability of optimization problems via algorithms with linear convergence guarantees. We make a first step towards examining its correctness by fully characterizing the problems that are…
In this paper, we study the portfolio optimization problem with general utility functions and when the return and volatility of underlying asset are slowly varying. An asymptotic optimal strategy is provided within a specific class of…
We study the feasibility and noise sensitivity of portfolio optimization under some downside risk measures (Value-at-Risk, Expected Shortfall, and semivariance) when they are estimated by fitting a parametric distribution on a finite sample…
The aim of this paper is to solve an optimal investment, consumption and life insurance problem when the investor is restricted to capital guarantee. We consider an incomplete market described by a jump-diffusion model with stochastic…
Have you ever felt miserable because of a sudden whipsaw in the price that triggered an unfortunate trade? In an attempt to remove this noise, technical analysts have used various types of moving averages (simple, exponential, adaptive one…
Bayesian filtering approximates the true underlying behavior of a time-varying system by inverting an explicit generative model to convert noisy measurements into state estimates. This process typically requires either storage, inversion,…
We consider a long-term optimal investment problem where an investor tries to minimize the probability of falling below a target growth rate. From a mathematical viewpoint, this is a large deviation control problem. This problem will be…
We consider an optimal investment and consumption problem for a Black-Scholes financial market with stochastic volatility and unknown stock appreciation rate. The volatility parameter is driven by an external economic factor modeled as a…
For a long investment time horizon, it is preferable to rebalance the portfolio weights at intermediate times. This necessitates a multi-period market model in which portfolio optimization is usually done through dynamic programming.…
In this paper, we consider a financial market with assets exposed to some risks inducing jumps in the asset prices, and which can still be traded after default times. We use a default-intensity modeling approach, and address in this…
We provide analytical results for a static portfolio optimization problem with two coherent risk measures. The use of two risk measures is motivated by joint decision-making for portfolio selection where the risk perception of the portfolio…
In this paper we consider a discrete-time risk sensitive portfolio optimization over a long time horizon with proportional transaction costs. We show that within the log-return i.i.d. framework the solution to a suitable Bellman equation…