Related papers: Generalizations of Functionally Generated Portfoli…
The concept of generalized functions taking values in a differentiable manifold is extended to a functorial theory. We establish several characterization results which allow a global intrinsic formulation both of the theory of…
Taking a Feynman categorical perspective, several key aspects of the geometry of surfaces are deduced from combinatorial constructions with graphs. This provides a direct route from combinatorics of graphs to string topology operations via…
Recent work has generalized the Furstenberg correspondence between sets of integers and dynamical systems to versions which involve sequences of finite graphs or sequences of $L^\infty$ functions. We give a unified version of the theorem…
In this work, we propose an approach to generalize denoising diffusion probabilistic models for stock market predictions and portfolio management. Present works have demonstrated the efficacy of modeling interstock relations for market…
Statistical arbitrage methods identify mispricings in securities with the goal of building portfolios which are weakly correlated with the market. In pairs trading, an arbitrage opportunity is identified by observing relative price…
We consider the problem of choosing a portfolio that maximizes the cumulative prospect theory (CPT) utility on an empirical distribution of asset returns. We show that while CPT utility is not a concave function of the portfolio weights, it…
While machine learning methods have significantly improved model performance over traditional methods, their black-box structure makes it difficult for researchers to interpret results. For highly regulated financial industries, model…
We address the Merton problem of maximizing the expected utility of terminal wealth using techniques from variational analysis. Under a general continuous semimartingale market model with stochastic parameters, we obtain a characterization…
Building on the one-to-one relationship between generalized FGM copulas and multivariate Bernoulli distributions, we prove that the class of multivariate distributions with generalized FGM copulas is a convex polytope. Therefore, we find…
In this paper, we investigate a financial market model consisting of a risky asset, modeled as a general diffusion parameterized by a scale function and a speed measure, and a bank account process with a constant interest rate. This…
Portfolio optimization is a critical area in finance, aiming to maximize returns while minimizing risk. Metaheuristic algorithms were shown to solve complex optimization problems efficiently, with Genetic Algorithms and Particle Swarm…
The portfolio optimization problem is a basic problem of financial analysis. In the study, an optimization model for constructing an options portfolio with a certain payoff function has been proposed. The model is formulated as an integer…
Preferences of individuals are distributions of elements generated by generalized functions. Models of economic decision-making derived from such distributions are consistent with results of physiological experiments, and explain any…
We construct Zero-Coupon Bond markets driven by a cylindrical Brownian motion in which the notion of generalized portfolio has important flaws: There exist bounded smooth random variables with generalized hedging portfolios for which the…
We develop the idea of using Monte Carlo sampling of random portfolios to solve portfolio investment problems. In this first paper we explore the need for more general optimization tools, and consider the means by which constrained random…
Symbolic regression (SR) poses a significant challenge for randomized search heuristics due to its reliance on the synthesis of expressions for input-output mappings. Although traditional genetic programming (GP) algorithms have achieved…
Stochastic models share many characteristics with generic parametric models. In some ways they can be regarded as a special case. But for stochastic models there is a notion of weak distribution or generalised random variable, and the same…
Financial markets are prominent examples for highly non-stationary systems. Sample averaged observables such as variances and correlation coefficients strongly depend on the time window in which they are evaluated. This implies severe…
We propose a methodology for clustering financial time series of stocks' returns, and a graphical set-up to quantify and visualise the evolution of these clusters through time. The proposed graphical representation allows for the…
Generalized eigenvalue problems (GEPs) find applications in various fields of science and engineering. For example, principal component analysis, Fisher's discriminant analysis, and canonical correlation analysis are specific instances of…