Related papers: Portfolio Choice with Transaction Costs: a User's …
We consider a discrete-time model of a financial market where a risky asset is bought and sold with transactions having a transient price impact. It is shown that the corresponding utility maximization problem admits a solution. We manage…
We study a goal-based portfolio selection problem in which an investor aims to meet multiple financial goals, each with a specific deadline and target amount. Trading the stock incurs a strictly positive transaction cost. Using the…
Portfolio optimisation typically aims to provide an optimal allocation that minimises risk, at a given return target, by diversifying over different investments. However, the potential scope of such risk diversification can be limited if…
With the proliferation of new blockchain-based cryptocurrencies/assets and platforms that make it possible to transact across them, it becomes important to consider not just whether the transfer of coins/assets can be tracked within their…
We study the problem of option pricing and hedging strategies within the frame-work of risk-return arguments. An economic agent is described by a utility function that depends on profit (an expected value) and risk (a variance). In the…
Proportional transaction costs present difficult theoretical problems in trading algorithm design, on account of their lack of analytical tractability. The author derives a solution of DT-NT-DT form for an arbitrary model in which the the…
A constant rebalanced portfolio is an asset allocation algorithm which keeps the same distribution of wealth among a set of assets along a period of time. Recently, there has been work on on-line portfolio selection algorithms which are…
In the paper we study markets with concave transaction costs which depend in a concave way on the volume of transaction. This is typical situation in the case of small investors, which commonly appears in currency and real estate markets.…
We study optimal investment in a financial market having a finite number of assets from a signal processing perspective. We investigate how an investor should distribute capital over these assets and when he should reallocate the…
In the present work we develop a formalism to tackle the problem of optimal execution when trading market securities. More precisely, we introduce a utility function that balances market impact and timing risk, with this last being modelled…
On modern parallel architectures, the cost of synchronization among processors can often dominate the cost of floating-point computation. Several modifications of the existing methods have been proposed in order to keep the communication…
Convex duality for two two different super--replication problems in a continuous time financial market with proportional transaction cost is proved. In this market, static hedging in a finite number of options, in addition to usual dynamic…
In this paper we study an optimal portfolio selection problem under instantaneous price impact. Based on some empirical analysis in the literature, we model such impact as a concave function of the trading size when the trading size is…
We study risk-sharing economies where heterogenous agents trade subject to quadratic transaction costs. The corresponding equilibrium asset prices and trading strategies are characterised by a system of nonlinear, fully-coupled…
We consider the problem of social choice when transfers between agents are possible. This includes several canonical applications: public-good provision, management of a common resource, settlement of debts, and division of goods. The…
A central push in operations models over the last decade has been the incorporation of models of customer choice. Real world implementations of many of these models face the formidable stumbling block of simply identifying the `right' model…
Transaction processing has been an active area of research for several decades. A fundamental characteristic of classical transaction processing protocols is non-determinism, which causes them to suffer from performance issues on modern…
While many researchers adopt a sharding approach to design scaling blockchains, few works have studied the transaction placement problem incurred by sharding protocols. The widely-used hashing placement algorithm renders an overwhelming…
In today's competitive environment, profitability analysis is not just about looking at the profit and loss statement. It is more about knowing which of your customers are making you money and which are losing you money. This paper…
We develop a new analysis for portfolio optimisation with options, tackling the three fundamental issues with this problem: asymmetric options' distributions, high dimensionality and dependence structure. To do so, we propose a new…