Related papers: Combining Alpha Streams with Costs
We give an explicit algorithm and source code for extracting expected returns for stocks from expected returns for alphas. Our algorithm altogether bypasses combining alphas with weights into "alpha combos". Simply put, we have developed a…
We study optimal investment in a financial market having a finite number of assets from a signal processing perspective. We investigate how an investor should distribute capital over these assets and when he should reallocate the…
While many researchers adopt a sharding approach to design scaling blockchains, few works have studied the transaction placement problem incurred by sharding protocols. The widely-used hashing placement algorithm renders an overwhelming…
We study how trading costs are reflected in equilibrium returns. To this end, we develop a tractable continuous-time risk-sharing model, where heterogeneous mean-variance investors trade subject to a quadratic transaction cost. The…
Blockchain technology, while revolutionary in enabling decentralized transactions, faces scalability challenges as the ledger must be replicated across all nodes of the chain, limiting throughput and efficiency. Sharding, which divides the…
Sharding is used to address the performance and scalability issues of the blockchain protocols, which divides the overall transaction processing costs among multiple clusters of nodes. Shards require less storage capacity and communication…
In most real scenarios the construction of a risk-neutral portfolio must be performed in discrete time and with transaction costs. Two human imposed constraints are the risk-aversion and the profit maximization, which together define a…
We consider the problem of being a cross-chain wealth management platform with deposits, redemptions and investment assets across multiple networks. We discuss the need for blockchain bridges to facilitates fund flows across platforms. We…
We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in…
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…
In a market with one safe and one risky asset, an investor with a long horizon, constant investment opportunities, and constant relative risk aversion trades with small proportional transaction costs. We derive explicit formulas for the…
We study a game-theoretic variant of the maximum circulation problem. In a flow allocation game, we are given a directed flow network. Each node is a rational agent and can strategically allocate any incoming flow to the outgoing edges.…
We consider a cost sharing problem to connect all nodes in a weighted undirected graph, where the weight of each edge represents the cost to use the edge for the connectivity and the cost has to be shared among all connected nodes. There is…
There is a growing cross-disciplinary effort in the broad domain of optimization and learning with streams of data, applied to settings where traditional batch optimization techniques cannot produce solutions at time scales that match the…
The classical theory of efficient allocations of an aggregate endowment in a pure-exchange economy has hitherto primarily focused on the Pareto-efficiency of allocations, under the implicit assumption that transfers between agents are…
In this paper we consider the problem of minimising drawdown in a portfolio of financial assets. Here drawdown represents the relative opportunity cost of the single best missed trading opportunity over a specified time period. We formulate…
Distributed optimization for resource allocation problems is investigated and a sub-optimal continuous-time algorithm is proposed. Our algorithm has lower order dynamics than others to reduce burdens of computation and communication, and is…
We study risk-sharing economies where heterogenous agents trade subject to quadratic transaction costs. The corresponding equilibrium asset prices and trading strategies are characterised by a system of nonlinear, fully-coupled…
We have designed an innovative portfolio rebalancing mechanism termed the Cascading Waterfall Round Robin Mechanism. This algorithmic approach recommends an ideal size and number of trades for each asset during the periodic rebalancing…
An investor with constant relative risk aversion and an infinite planning horizon trades a risky and a safe asset with constant investment opportunities, in the presence of small transaction costs and a binding exogenous portfolio…