Related papers: The efficient index hypothesis and its implication…
In order to use the advanced inference techniques available for Ising models, we transform complex data (real vectors) into binary strings, by local averaging and thresholding. This transformation introduces parameters, which must be varied…
In speculative markets, risk-free profit opportunities are eliminated by traders exploiting them. Markets are therefore often described as "informationally efficient", rapidly removing predictable price changes, and leaving only residual…
Predictive model design for accurately predicting future stock prices has always been considered an interesting and challenging research problem. The task becomes complex due to the volatile and stochastic nature of the stock prices in the…
A goodness-of-fit index measures the consistency of consumption data with a given model of utility-maximization. We show that for the class of well-behaved (i.e., continuous and increasing) utility functions there is no goodness-of-fit…
This paper studies the topic of cost-efficiency in incomplete markets. A payoff is called cost-efficient if it achieves a given probability distribution at some given investment horizon with a minimum initial budget. Extensive literature…
The existence of optimal strategy in robust utility maximization is addressed when the utility function is finite on the entire real line. A delicate problem in this case is to find a "good definition" of admissible strategies, so that an…
Machine learning driven trading strategies have garnered a lot of interest over the past few years. There is, however, limited consensus on the ideal approach for the development of such trading strategies. Further, most literature has…
The endeavor of stock trend forecasting is principally focused on predicting the future trajectory of the stock market, utilizing either manual or technical methodologies to optimize profitability. Recent advancements in machine learning…
In this paper, we consider the problem of optimal investment by an insurer. The insurer invests in a market consisting of a bank account and $m$ risky assets. The mean returns and volatilities of the risky assets depend nonlinearly on…
In this paper, we study the robust optimal investment and risk control problem for an insurer who owns the insider information about the financial market and the insurance market under model uncertainty. Both financial risky asset process…
Performance analysis, from the external point of view of a client who would only have access to returns and holdings of a fund, evolved towards exact attribution made in the context of portfolio optimisation, which is the internal point of…
Traditional quantitative investment research is encountering diminishing returns alongside rising labor and time costs. To overcome these challenges, we introduce the Large Investment Model (LIM), a novel research paradigm designed to…
We consider an equity-linked contract whose payoff depends on the lifetime of policy holder and the stock price. We assume the limited capital for hedging and we provide with the best strategy for an insurance company in the meaning of so…
This paper presents a new framework for Merton's optimal investment problem which uses the theory of Meyer $\sigma$-fields to allow for signals that possibly warn the investor about impending jumps. With strategies no longer predictable,…
With increasing volume of data being used across machine learning tasks, the capability to target specific subsets of data becomes more important. To aid in this capability, the recently proposed Submodular Mutual Information (SMI) has been…
We propose an efficient algorithm for estimation of possibility based qualitative expected utility. It is useful for decision making mechanisms where each possible decision is assigned a multi-attribute possibility distribution. The…
This paper studies the utility maximization problem of an agent with non-trivial endowment, and whose preferences are modeled by the maximal subsolution of a BSDE. We prove existence of an optimal trading strategy and relate our existence…
We investigate how and when to diversify capital over assets, i.e., the portfolio selection problem, from a signal processing perspective. To this end, we first construct portfolios that achieve the optimal expected growth in i.i.d.…
We consider a discrete-time version of the popular optimal dividend pay-out problem in risk theory. The novel aspect of our approach is that we allow for a risk averse insurer, i.e., instead of maximising the expected discounted dividends…
The Efficient Market Hypothesis (EMH) is widely accepted to hold true under certain assumptions. One of its implications is that the prediction of stock prices at least in the short run cannot outperform the random walk model. Yet, recently…