Related papers: Optimal Equity Glidepaths in Retirement
Updating machine learning models with new information usually improves their predictive performance, yet, in many applications, it is also desirable to avoid changing the model predictions too much. This property is called stability. In…
We study the problem of optimal long term portfolio selection with a view to beat a benchmark. Two kinds of objectives are considered. One concerns the probability of outperforming the benchmark and seeks either to minimise the decay rate…
We determine the variance-optimal hedge when the logarithm of the underlying price follows a process with stationary independent increments in discrete or continuous time. Although the general solution to this problem is known as backward…
Even the most simplified models of falling and gliding bodies exhibit rich nonlinear dynamical behavior. Taking a global view of the dynamics of one such model, we find an attracting invariant manifold that acts as the dominant organizing…
In this paper we revisit a class of optimal transport problems associated to non-autonomous linear control systems. Building on properties of the cost functions on $\mathbb{R}^{d}\times\mathbb{R}^{d}$ derived from suitable variational…
We propose and study a simple model of dynamical redistribution of capital in a diversified portfolio. We consider a hypothetical situation of a portfolio composed of N uncorrelated stocks. Each stock price follows a multiplicative random…
This paper derives a portfolio decomposition formula when the agent maximizes utility of her wealth at some finite planning horizon. The financial market is complete and consists of multiple risky assets (stocks) plus a risk free asset. The…
In this paper, we develop a provably correct optimal control strategy for a finite deterministic transition system. By assuming that penalties with known probabilities of occurrence and dynamics can be sensed locally at the states of the…
Rolling origin forecast instability refers to variability in forecasts for a specific period induced by updating the forecast when new data points become available. Recently, an extension to the N-BEATS model for univariate time series…
Pension schemes all over the world are under increasing pressure to efficiently hedge the longevity risk posed by ageing populations. In this work, we study an optimal investment problem for a defined contribution pension scheme which…
We establish and generalise several bounds for various random walk quantities including the mixing time and the maximum hitting time. Unlike previous analyses, our derivations are based on rather intuitive notions of local expansion…
Building on the work of Schweizer (1995) and Cern and Kallseny (2007), we present discrete time formulas minimizing the mean square hedging error for multidimensional assets. In particular, we give explicit formulas when a regime-switching…
This paper resolves a question proposed in Kardaras and Robertson [Ann. Appl. Probab. 22 (2012) 1576-1610]: how to invest in a robust growth-optimal way in a market where precise knowledge of the covariance structure of the underlying…
We derive a new method to infer from data the out-of-equilibrium alignment dynamics of collectively moving animal groups, by considering the maximum entropy distribution consistent with temporal and spatial correlations of flight direction.…
Optimal execution of a portfolio have been a challenging problem for institutional investors. Traders face the trade-off between average trading price and uncertainty, and traditional methods suffer from the curse of dimensionality. Here,…
An optimal control problem for longitudinal motions of a thin elastic rod is considered. We suppose that a normal force, which changes piecewise constantly along the rod's length, is applied to the cross-section so that the positions of…
Randomized coordinate descent (RCD) is a popular optimization algorithm with wide applications in solving various machine learning problems, which motivates a lot of theoretical analysis on its convergence behavior. As a comparison, there…
In this paper we solve the hedge fund manager's optimization problem in a model that allows for investors to enter and leave the fund over time depending on its performance. The manager's payoff at the end of the year will then depend not…
The problem of optimal stopping with finite horizon in discrete time is considered in view of maximizing the expected gain. The algorithm proposed in this paper is completely nonparametric in the sense that it uses observed data from the…
Structuring a viable pension plan is a problem that arises in the study of financial contracts pricing and bears special importance these days. Deterministic pension models often rely on projections that are based on several assumptions…