Related papers: Portfolio Choice with Transaction Costs: a User's …
This paper studies the properties of the optimal portfolio-consumption strategies in a {finite horizon} robust utility maximization framework with different borrowing and lending rates. In particular, we allow for constraints on both…
There is a growing body of work on sorting and selection in models other than the unit-cost comparison model. This work is the first treatment of a natural stochastic variant of the problem where the cost of comparing two elements is a…
This document outlines the approach to supporting cross-node transactions over a Redis cluster.
Peer-to-peer (P2P) trading is seen as a viable solution to handle the growing number of distributed energy resources in distribution networks. However, when dealing with large-scale consumers, there are several challenges that must be…
Complexity remains one of the central challenges in science and technology. Although several approaches at defining and/or quantifying complexity have been proposed, at some point each of them seems to run into intrinsic limitations or…
An investor trades a safe and several risky assets with linear price impact to maximize expected utility from terminal wealth. In the limit for small impact costs, we explicitly determine the optimal policy and welfare, in a general…
This paper presents a new methodology that combines a multiple criteria sorting or ranking method with a project portfolio selection procedure. The multicriteria method permits to compare projects in terms of their priority assessed on the…
Consider a dynamic decision-making scenario where at every stage the investor has to choose between investing in one of two projects or gathering more information. At each stage, the investor may seek counsel from one of several…
Abundant examples of complex transaction-oriented networks (TONs) can be found in a variety of disciplines, including information and communication technology, finances, commodity trading, and real estate. A transaction in a TON is executed…
We propose a very efficient method for pricing various types of lookback options under Markov models. We utilize the model-free representations of lookback option prices as integrals of first passage probabilities. We combine efficient…
Payment channel networks (PCNs) are a promising technology that alleviates blockchain scalability by shifting the transaction load from the blockchain to the PCN. Nevertheless, the network topology has to be carefully designed to maximise…
In the Bitcoin system, transaction fees serve as an incentive for blockchain confirmations. In general, a transaction with a higher fee is likely to be included in the next block mined, whereas a transaction with a smaller fee or no fee may…
The passive management approach offers conservative investors a way to reduce risk concerning the market. This investment strategy aims at replicating a specific index, such as the NASDAQ Composite or the FTSE100 index. The problem is that…
BitCoin transactions are malleable in a sense that given a transaction an adversary can easily construct an equivalent transaction which has a different hash. This can pose a serious problem in some BitCoin distributed contracts in which…
Blockchain transactions consume diverse resources, foremost among them storage, but also computation, communication, and others. Efficiently charging for these resources is crucial for effective system resource allocation and long-term…
The pricing, hedging, optimal exercise and optimal cancellation of game or Israeli options are considered in a multi-currency model with proportional transaction costs. Efficient constructions for optimal hedging, cancellation and exercise…
Bitcoin has witnessed a prevailing transition that employing transaction fees paid by users rather than subsidy assigned by the system as the main incentive for mining.
Energy costs are a major factor in the total cost of ownership (TCO) for high-performance computing (HPC) systems. The rise of intermittent green energy sources and reduced reliance on fossil fuels have introduced volatility into…
We present a formulation of the transaction cost analysis (TCA) in the Bayesian framework for the primary purpose of comparing broker algorithms using standardized benchmarks. Our formulation allows effective calculation of the expected…
We consider a multivariate financial market with transaction costs and study the problem of finding the minimal initial capital needed to hedge, without risk, European-type contingent claims. The model is similar to the one considered in…