Related papers: A dual characterization of self-generation and exp…
The theory of functionally generated portfolios (FGPs) is an aspect of the continuous-time, continuous-path Stochastic Portfolio Theory of Robert Fernholz. FGPs have been formulated to yield a master equation - a description of their return…
We present a simple two-dimensional dynamical system where two nonlinear terms, exerting respectively positive feedback and reversal, compete to create a singularity in finite time decorated by accelerating oscillations. The power law…
The purpose of the present work is twofold. First, we develop the theory of general self-similar growth-fragmentation processes by focusing on martingales which appear naturally in this setting and by recasting classical results for…
We provide simple models for the utility function (or psychology) of an actor trading a multitude of goods for money. In this framework, money has no intrinsic consumption value, but is required as a medium of exchange. A collection of such…
The present article explores the application of randomized control techniques in empirical asset pricing and performance evaluation. It introduces geometric random walks, a class of Markov chain Monte Carlo methods, to construct flexible…
In this paper, we show analytically that the duality of normal factor graphs (NFG) can facilitate stochastic estimation of partition functions. In particular, our analysis suggests that for the $q-$ary two-dimensional nearest-neighbor Potts…
In the literature on stochastic frontier models until the early 2000s, the joint consideration of spatial and temporal dimensions was often inadequately addressed, if not completely neglected. However, from an evolutionary economics…
We study utility maximization problem for general utility functions using dynamic programming approach. We consider an incomplete financial market model, where the dynamics of asset prices are described by an $R^d$-valued continuous…
In the context of stochastic portfolio theory we introduce a novel class of portfolios which we call linear path-functional portfolios. These are portfolios which are determined by certain transformations of linear functions of a…
Generating synthetic financial time series data that accurately reflects real-world market dynamics holds tremendous potential for various applications, including portfolio optimization, risk management, and large scale machine learning. We…
We investigate the generation of features at large scales in the primordial power spectrum (PPS) when inflation is driven by two scalar fields. In canonical single field models of inflation, these features are often generated due to…
In this paper, we derive tail approximations of integrals of exponential functions of Gaussian random fields with varying mean functions and approximations of the associated point processes. This study is motivated naturally by multiple…
This is a short letter summarizing the long paper cond-mat/0106047 in which we present a simple two-dimensional dynamical system reaching a singularity in finite time decorated by accelerating oscillations due to the interplay between…
It has been recently shown that numerical semiparametric bounds on the expected payoff of fi- nancial or actuarial instruments can be computed using semidefinite programming. However, this approach has practical limitations. Here we use…
Polymer property performance prediction aims to forecast specific features or attributes of polymers, which has become an efficient approach to measuring their performance. However, existing machine learning models face challenges in…
We consider the problem of optimal portfolio selection under forward investment performance criteria in an incomplete market. Given multiple traded assets, the prices of which depend on multiple observable stochastic factors, we construct a…
In this dissertation two simple models of stock exchange are developed and simulated numerically. The first is characterized by centralized trading with a market maker. Unfortunately, this model is unable to generate realistic market…
In this paper, we propose a new class of distributions by exponentiating the random variables associated with the probability density functions of composite distributions. We also derive some mathematical properties of this new class of…
In an Ito-diffusion market, two fund managers trade under relative performance concerns. For both the asset specialization and diversification settings, we analyze the passive and competitive cases. We measure the performance of the…
The Group Quantization formalism is a scheme for constructing a functional space that is an irreducible infinite dimensional representation of the Lie algebra belonging to a dynamical symmetry group. We apply this formalism to the…