Related papers: Foundations for Wash Sales
Wash trading is a form of market manipulation where the same entity sells an asset to themselves to drive up market prices, launder money under the cover of a legitimate transaction, or claim a tax loss without losing ownership of an asset.…
In this paper we consider a modification of the classical Merton portfolio optimization problem. Namely, an investor can trade in financial asset and consume his capital. He is additionally endowed with a one unit of an indivisible asset…
We study the Merton problem of optimal consumption-investment for the case of two investors sharing a final wealth. The typical example would be a husband and wife sharing a portfolio looking to optimize the expected utility of consumption…
This paper considers the portfolio management problem of optimal investment, consumption and life insurance. We are concerned with time inconsistency of optimal strategies. Natural assumptions, like different discount rates for consumption…
We consider an illiquid financial market where a risk averse investor has to liquidate a portfolio within a finite time horizon [0,T] and can trade continuously at a traditional exchange (the "primary venue") and in a dark pool. At the…
Toehold purchase, defined here as purchase of one share in a firm by an investor preparing a tender offer to acquire majority of shares in it, reduces by one the number of shares this investor needs for majority. In the paper we construct…
The valuation process that economic agents undergo for investments with uncertain payoff typically depends on their statistical views on possible future outcomes, their attitudes toward risk, and, of course, the payoff structure itself.…
We describe an optimization-based tax-aware portfolio construction method that adds tax liability to standard Markowitz-based portfolio construction. Our method produces a trade list that specifies the number of shares to buy of each asset…
We analyze the household savings problem in a general setting where returns on assets, non-financial income and impatience are all state dependent and fluctuate over time. All three processes can be serially correlated and mutually…
We propose that the liquidity of an asset includes two components: liquidity jump and liquidity diffusion. We show that liquidity diffusion has a higher correlation with crypto wash trading than liquidity jump and demonstrate that treatment…
Diversification return is an incremental return earned by a rebalanced portfolio of assets. The diversification return of a rebalanced portfolio is often incorrectly ascribed to a reduction in variance. We argue that the underlying source…
As an attempt to bridge the gap between the probabilistic world of classical information theory and the combinatorial world of zero-error information theory, this paper studies the performance of randomly generated codebooks over discrete…
In the setup of selling one or more goods, various papers have shown, in various forms and for various purposes, that a small change in the distribution of a buyer's valuations may cause only a small change in the possible revenue that can…
The discrete sell or hold problem (DSHP), which is introduced in \cite{H12}, is studied under the constraint that each asset can only take a constant number of different values. We show that if each asset can take only two values, the…
NFTs (Non-Fungible Tokens) have seen significant growth since they first captured public attention in 2021. However, the NFT market is plagued by fake transactions and economic bubbles, e.g., NFT wash trading. Wash trading typically refers…
This paper studies an open question in the warehouse problem where a merchant trading a commodity tries to find an optimal inventory-trading policy to decide on purchase and sale quantities during a fixed time horizon in order to maximize…
Inventory management problems with periodic and controllable resets occur in the context of managing water storage in the developing world and retailing limited-time availability products. In this paper, we consider a set of sequential…
Consider a coin tossing experiment which consists of tossing one of two coins at a time, according to a renewal process. The first coin is fair and the second has probability $1/2 + \theta$, $\theta \in [-1/2,1/2]$, $\theta$ unknown but…
Management of a portfolio that includes an illiquid asset is an important problem of modern mathematical finance. One of the ways to model illiquidity among others is to build an optimization problem and assume that one of the assets in a…
Points-based rewards programs are a prevalent way to incentivize customer loyalty; in these programs, customers who make repeated purchases from a seller accumulate points, working toward eventual redemption of a free reward. These programs…