Related papers: Portfolio Choice with Transaction Costs: a User's …
Here we shall consider a very popular practical applied problem of managing mode switching (in this work we are considering managing billing plans). Out of the two parties (service provider and service consumer), participating in the…
In this paper the problem of selecting $p$ out of $n$ available items is discussed, such that their total cost is minimized. We assume that costs are not known exactly, but stem from a set of possible outcomes. Robust recoverable and…
In this paper we consider a scenario where there are several algorithms for solving a given problem. Each algorithm is associated with a probability of success and a cost, and there is also a penalty for failing to solve the problem. The…
The paper studies problem of continuous time optimal portfolio selection for a incom- plete market diffusion model. It is shown that, under some mild conditions, near optimal strategies for investors with different performance criteria can…
The literature on volatility modelling and option pricing is a large and diverse area due to its importance and applications. This paper provides a review of the most significant volatility models and option pricing methods, beginning with…
We discuss investment allocation to multiple alpha streams traded on the same execution platform with internal crossing of trades and point out differences with allocating investment when alpha streams are traded on separate execution…
For a given level of accuracy in option prices, the paper considers the problem of deciding when exactly, as one or more of the pricing parameters change, a barrier option degenerates into a simpler type of option. This problem is…
We propose a method for extending a given asset pricing formula to account for two additional sources of risk: the risk associated with future changes in market--calibrated parameters and the remaining risk associated with idiosyncratic…
We recently presented a methodology for quantitatively reducing the risk and cost of executing electronic transactions in a bursty network environment such as the Internet. In the language of portfolio theory, time to complete a transaction…
Optimal shelflisting invites profit maximization to become sensitive to the ways in which purchasing decisions are order-dependent. We study the computational complexity of the corresponding product arrangement problem when consumers are…
These notes contain, among others, a proof that the average running time of an easy solution to the satisfiability problem for propositional calculus is, under some reasonable assumptions, linear (with constant 2) in the size of the input.…
We consider options that pay the complexity deficiency of a sequence of up and down ticks of a stock upon exercise. We study the price of European and American versions of this option numerically for automatic complexity, and theoretically…
For portfolio optimisation under proportional transaction costs, we provide a duality theory for general cadlag price processes. In this setting, we prove the existence of a dual optimiser as well as a shadow price process in a generalised…
Managing the transactions in real time distributed computing system is not easy, as it has heterogeneously networked computers to solve a single problem. If a transaction runs across some different sites, it may commit at some sites and may…
This article considers the pricing and hedging of a call option when liquidity matters, that is, either for a large nominal or for an illiquid underlying asset. In practice, as opposed to the classical assumptions of a price-taking agent in…
We consider the problem of determining a sequence of payments among a set of entities that clear (if possible) the liabilities among them. We formulate this as an optimal control problem, which is convex when the objective function is, and…
In this short note, we will show how to optimize the portfolio of a large trader whose hedging strategy affects the price of his assets.
We develop a full-fledged analysis of an algorithmic decision process that, in a multialternative choice problem, produces computable choice probabilities and expected decision times.
The subject of this paper is an optimal consumption/optimal portfolio problem with transaction costs and with multiple risky assets. In our model the transaction costs take a special form in that transaction costs on purchases of one of the…
We consider Merton's problem with proportional transaction costs. It is well known that the optimal investment strategy is characterized by two trading boundaries, the buy boundary and the sell boundary, between which lies the no-trading…