Related papers: Portfolio Choice with Transaction Costs: a User's …
For portfolio choice problems with proportional transaction costs, we discuss whether or not there exists a "shadow price", i.e., a least favorable frictionless market extension leading to the same optimal strategy and utility. By means of…
An agent acquires a costly flexible signal before making a decision. We explore to what degree knowledge of the agent's information costs helps predict her behavior. We establish an impossibility result: learning costs alone generate no…
In this paper, asymptotic results in a long-term growth rate portfolio optimization model under both fixed and proportional transaction costs are obtained. More precisely, the convergence of the model when the fixed costs tend to zero is…
Payment Channel Networks (PCNs) have been proposed as an alternative solution to the scalability, throughput, and cost overhead problems associated with blockchain transactions. By facilitating offchain execution of transactions, PCNs…
In this paper, we consider the problem of optimization of a portfolio consisting of securities. An investor with an initial capital, is interested in constructing a portfolio of securities. If the prices of securities change, the investor…
We extend Relative Robust Portfolio Optimisation models to allow portfolios to optimise their distance to a set of benchmarks. Portfolio managers are also given the option of computing regret in a way which is more in line with market…
Conversational recommendation systems have recently gain a lot of attention, as users can continuously interact with the system over multiple conversational turns. However, conversational recommendation systems are based on complex neural…
The transactional conflict problem arises in transactional systems whenever two or more concurrent transactions clash on a data item. While the standard solution to such conflicts is to immediately abort one of the transactions, some…
An investor with constant absolute risk aversion trades a risky asset with general It\^o-dynamics, in the presence of small proportional transaction costs. In this setting, we formally derive a leading-order optimal trading policy and the…
In cryptocurrencies, transaction fees are typically exclusively paid in the native platform currency. This restriction causes a wide range of challenges, such as deteriorated user experience, mandatory rent payments by decentralized…
A speculative agent with Prospect Theory preference chooses the optimal time to purchase and then to sell an indivisible risky asset to maximize the expected utility of the round-trip profit net of transaction costs. The optimization…
In most real scenarios the construction of a risk-neutral portfolio must be performed in discrete time and with transaction costs. Two human imposed constraints are the risk-aversion and the profit maximization, which together define a…
We present a simulation-and-regression method for solving dynamic portfolio allocation problems in the presence of general transaction costs, liquidity costs and market impacts. This method extends the classical least squares Monte Carlo…
Adaptivity to changing environments and constraints is key to success in modern society. We address this by proposing "incrementalized versions" of Stable Marriage and Stable Roommates. That is, we try to answer the following question: for…
The last decade has experienced a vast interest in Blockchain-based cryptocurrencies with a specific focus on the applications of this technology. However, slow confirmation times of transactions and unforeseeable high fees hamper their…
Financial markets are complex environments that produce enormous amounts of noisy and non-stationary data. One fundamental problem is online portfolio selection, the goal of which is to exploit this data to sequentially select portfolios of…
I present an analytic approach to establishing the presence of phase transitions in a large set of decision problems. This approach does not require extensive computational study of the problems considered. The set -- that of all paddable…
We propose a portfolio approach for operational risk quantification based on a class of analytical models from which we derive new results on the correlation problem. In particular, we show that uniform correlation is a robust assumption…
In financial investing, universal portfolios are a means of constructing portfolios which guarantee a certain level of performance relative to a baseline, while making no statistical assumptions about the future market data. They fall under…
Traditional distributed transaction processing (TP) systems, such as replicated databases, faced difficulties in getting wide adoption for scenarios of enterprise integration due to the level of mutual trust required. Ironically, public…