Related papers: Generalizations of Functionally Generated Portfoli…
We present a framework for modeling asset and portfolio dynamics, incorporating this information into portfolio optimization. For this framework, we introduce the Commonality Principle, providing a solution for the optimal selection of…
A general explicit form for generating functions for approximating fractional derivatives is derived. To achieve this, an equivalent characterisation for consistency and order of approximations established on a general generating function…
A market model in Stochastic Portfolio Theory is a finite system of strictly positive stochastic processes. Each process represents the capitalization of a certain stock. If at any time no stock dominates almost the entire market, which…
We develop an axiomatic theory of balance functions (future value functions) in the theory of interest that is derived from financial considerations and which applies to general regulated payment streams, including continuous payment…
In this article, we study the generalized modern portfolio theory, with utility functions admitting higher-order cumulants. We establish that under certain genericity conditions, the utility function has a constant number of complex…
We examine the connections between deterministic, complete, and general global optimisation of continuous functions and a general concept of regression from the perspective of constructive type theory via the concept of 'searchability'. We…
The paper develops no arbitrage results for trajectory based models by imposing general constraints on the trading portfolios. The main condition imposed, in order to avoid arbitrage opportunities, is a local continuity requirement on the…
Gaussian process (GP) regression is a powerful probabilistic modeling technique with built-in uncertainty quantification. When one has access to multiple correlated simulations (tasks), it is common to fit a multitask GP (MTGP) surrogate…
The aim of this work is to extend the capital growth theory developed by Kelly, Breiman, Cover and others to asset market models with transaction costs. We define a natural generalization of the notion of a numeraire portfolio proposed by…
In this paper we describe market in projective geometry language and give definition of a matrix of market rate, which is related to the matrix rate of return and the matrix of judgements in the Analytic Hierarchy Process (AHP). We use…
Pairs trading is a market-neutral strategy that exploits historical correlation between stocks to achieve statistical arbitrage. Existing pairs-trading algorithms in the literature require rather restrictive assumptions on the underlying…
Generating functions, which are widely used in combinatorics and probability theory, encode function values into the coefficients of a polynomial. In this paper, we explore their use as a tractable probabilistic model, and propose…
We review some fundamental concepts of investment from a mathematical perspective, concentrating specifically on fractional-Kelly portfolios, which allocate a fraction of wealth to a growth-optimal portfolio while the remainder collects (or…
A generalized Gaussian process model (GGPM) is a unifying framework that encompasses many existing Gaussian process (GP) models, such as GP regression, classification, and counting. In the GGPM framework, the observation likelihood of the…
Graph aggregation is the process of computing a single output graph that constitutes a good compromise between several input graphs, each provided by a different source. One needs to perform graph aggregation in a wide variety of…
Existence of stochastic financial equilibria giving rise to semimartingale asset prices is established under a general class of assumptions. These equilibria are expressed in real terms and span complete markets or markets with withdrawal…
Fine-grained domain generalization (FGDG) is a more challenging task than traditional DG tasks due to its small inter-class variations and relatively large intra-class disparities. When domain distribution changes, the vulnerability of…
From the integration of non-symmetrical hyperboles, a one-parameter generalization of the logarithmic function is obtained. Inverting this function, one obtains the generalized exponential function. We show that functions characterizing…
With the good development in the financial industry, the market starts to catch people's eyes, not only by the diversified investing choices ranging from bonds and stocks to futures and options but also by the general "high-risk,…
The role of portfolio construction in the implementation of equity market neutral factors is often underestimated. Taking the classical momentum strategy as an example, we show that one can significantly improve the main strategy's features…