Related papers: Optimal Capital Structure with Scale Effects under…

We provide a complete characterization of optimal extinction in a two-sector model of economic growth through three results, surprising in both their simplicity and intricacy. (i) When the discount factor is below a threshold identified by…

This study investigates an optimal investment problem for an insurance company operating under the Cramer-Lundberg risk model, where investments are made in both a risky asset and a risk-free asset. In contrast to other literature that…

Excessive leverage, i.e. the abuse of debt financing, is considered one of the primary factors in the default of financial institutions. Systemic risk results from correlations between individual default probabilities that cannot be…

We study the problem of optimal long term portfolio selection with a view to beat a benchmark. Two kinds of objectives are considered. One concerns the probability of outperforming the benchmark and seeks either to minimise the decay rate…

We identify empirical scaling laws for the cross-entropy loss in four domains: generative image modeling, video modeling, multimodal image$\leftrightarrow$text models, and mathematical problem solving. In all cases autoregressive…

We consider a scenario where a system experiences a disruption, and the states (representing health values) of its components continue to reduce over time, unless they are acted upon by a controller. Given this dynamical setting, we…

Maximum correntropy criterion regression (MCCR) models have been well studied within the frame of statistical learning when the scale parameters take fixed values or go to infinity. This paper studies the MCCR models with tending-to-zero…

We consider an optimal trading problem under a market impact model with endogenous market resistance generated by a sophisticated trader who (partially) detects metaorders and trades against them to exploit price overreactions induced by…

We assume that an individual invests in a financial market with one riskless and one risky asset, with the latter's price following a diffusion with stochastic volatility. In the current financial market especially, it is important to…

We study deterministic, discrete linear time-invariant systems with infinite-horizon discounted quadratic cost. It is well-known that standard stabilizability and detectability properties are not enough in general to conclude stability…

This theoretical model contains concept, equations, and graphical results for venture banking. A system of 27 equations describes the behavior of the venture-bank and underwriter system allowing phase-space type graphs that show where…

This paper investigates risk measures derived from the expected maximum deficit in a continuous-time framework and develops optimal reserve allocation strategies across multiple lines of business. We formalize the expected maximum deficit…

Optimal reinsurance when Value at Risk and expected surplus is balanced through their ratio is studied, and it is demonstrated how results for risk-adjusted surplus can be utilized. Simplifications for large portfolios are derived, and this…

We study the emerging large-scale structures in networks subject to selective pressures that simultaneously drive towards higher modularity and robustness against random failures. We construct maximum-entropy null models that isolate the…

This paper studies a robust portfolio optimization problem under the multi-factor volatility model introduced by Christoffersen et al. (2009). The optimal strategy is derived analytically under the worst-case scenario with or without…

This study investigates the factors that influence the capital adequacy of commercial banks in Bangladesh using panel data from 28 banks over the period of 2013-2019. Three analytical methods, including the Fixed Effect model, Random Effect…

In the setting of the classical Cramer-Lundberg risk insurance model, Albrecher and Hipp (2007) introduced the idea of tax payments. More precisely, if $X = \{X_t : t\geq 0\}$ represents the Cramer-Lundberg process and, for all $t\geq 0$,…

This paper examines a Markovian model for the optimal irreversible investment problem of a firm aiming at minimizing total expected costs of production. We model market uncertainty and the cost of investment per unit of production capacity…

A continuous-time financial portfolio selection model with expected utility maximization typically boils down to solving a (static) convex stochastic optimization problem in terms of the terminal wealth, with a budget constraint. In…

This paper studies the effect of quarterly earnings reports on the stock price. The profitability of the stock is modelled by geometric Brownian diffusion and the Constant Elasticity of Variance model. We fit several variations of…