Related papers: Asset Allocation under the Basel Accord Risk Measu…
In this paper, we propose an inexact Augmented Lagrangian Method (ALM) for the optimization of convex and nonsmooth objective functions subject to linear equality constraints and box constraints where errors are due to fixed-point data. To…
Existing black-box portfolio management systems are prevalent in the financial industry due to commercial and safety constraints, though their performance can fluctuate dramatically with changing market regimes. Evaluating these…
We propose a new method for finding statistical arbitrages that can contain more assets than just the traditional pair. We formulate the problem as seeking a portfolio with the highest volatility, subject to its price remaining in a band…
We consider the problem of minimizing the sum of a Lipschitz differentiable convex function $f$ and a proper closed convex function $h$ that admits efficient linear minimization oracles, subject to multiple smooth convex inequality…
Financial market forecasting remains a formidable challenge despite the surge in computational capabilities and machine learning advancements. While numerous studies have underscored the precision of computer-generated market predictions,…
We introduce a two-agent problem which is inspired by price asymmetry arising from funding difference. When two parties have different funding rates, the two parties deduce different fair prices for derivative contracts even under the same…
This article introduces a novel hybrid regime identification-forecasting framework designed to enhance multi-asset portfolio construction by integrating asset-specific regime forecasts. Unlike traditional approaches that focus on broad…
We propose a new bundle-based augmented Lagrangian framework for solving constrained convex problems. Unlike the classical (inexact) augmented Lagrangian method (ALM) that has a nested double-loop structure, our framework features a…
Capital allocation principles are used in various contexts in which a risk capital or a cost of an aggregate position has to be allocated among its constituent parts. We study capital allocation principles in a performance measurement…
We consider the resource allocation problem and its numerical solution. The following constructions are demonstrated: 1) Walrasian price-adjustment mechanism for determining the equilibrium; 2) Decentralized role of the prices; 3) Slater's…
We study the Maximum Budgeted Allocation problem, which is the problem of assigning indivisible items to players with budget constraints. In its most general form, an instance of the MBA problem might include many different prices for the…
In this paper we introduce a new coherent cumulative risk measure on $\mathcal{R}_L^p$, the space of c\`adl\`ag processes having Laplace transform. This new coherent risk measure turns out to be tractable enough within a class of models…
Focusing on gains & losses relative to a risk-free benchmark instead of terminal wealth, we consider an asset allocation problem to maximize time-consistently a mean-risk reward function with a general risk measure which is i)…
We consider a financial intermediary managing assets and liabilities exposed to several risk sources and seeking an optimal portfolio strategy to minimise the initial capital invested and the total risk associated with investment losses and…
The growing interest for high dimensional and functional data analysis led in the last decade to an important research developing a consequent amount of techniques. Parallelized algorithms, which consist in distributing and treat the data…
Existing approaches to resource allocation for nowadays stochastic networks are challenged to meet fast convergence and tolerable delay requirements. The present paper leverages online learning advances to facilitate stochastic resource…
The present paper provides a study of high-dimensional statistical arbitrage that combines factor models with the tools from stochastic control, obtaining closed-form optimal strategies which are both interpretable and computationally…
This paper studies the problem of optimally allocating a cash injection into a financial system in distress. Given a one-period borrower-lender network in which all debts are due at the same time and have the same seniority, we address the…
In this paper, we revisit the portfolio allocation problem with designated risk-budget [Qian, 2005]. We generalize the problem of arbitrary risk budgets with unequal correlations to one that includes return forecasts and transaction costs…
In this paper, we propose a Robbins-Monro augmented Lagrangian method (RMALM) to solve a class of constrained stochastic convex optimization, which can be regarded as a hybrid of the Robbins-Monro type stochastic approximation method and…