Related papers: Foundations for Wash Sales
In this manuscript we consider the dual risk model with financial application, where the random gains occur under a renewal process. We particularly work the Erlang(n) case for common distribution of the inter-arrival times, from there it…
This paper studies an optimal investment and consumption problem with heterogeneous consumption of basic and luxury goods, together with the choice of time for retirement. The utility for luxury goods is not necessarily a concave function.…
In the context of investment analysis, we formulate an abstract online computing problem called a planning game and develop general tools for solving such a game. We then use the tools to investigate a practical buy-and-hold trading problem…
We study a version of the classical Cayley-Moser optimal stopping problem, in which a seller must sell an asset by a given deadline, with the offers, which are independent random variables with a known distribution, arriving at random…
The Adjusted Winner (AW) method is a fundamental procedure for the fair division of indivisible resources between two agents. However, its reliance on splitting resources can lead to practical complications. To address this limitation, we…
The paper deals with regression problems, in which the nonsmooth target is assumed to switch between different operating modes. Specifically, piecewise smooth (PWS) regression considers target functions switching deterministically via a…
Several differential equations usually appearing in mathematical physics are solved through a power series expansion, which reduces in solving difference equations. In this paper a probability problem is presented whose solution follows a…
We consider a physical asset consisting of complex systems, where the systems may require upgrades during the lifetime of the asset. In practice, the asset owner and system supplier can make the upgrade decisions together, requiring a…
We derive valuations of a portfolio of financial instruments from a securities lending perspective, under different assumptions, and show a weighting scheme that converges to the true valuation. We illustrate conditions under which our…
A continuous-time Markowitz's mean-variance portfolio selection problem is studied in a market with one stock, one bond, and proportional transaction costs. This is a singular stochastic control problem,inherently in a finite time horizon.…
US Institutions with more than $100 million assets under management must disclose part of their long positions into the SEC Form 13F-HR on a quarterly basis. We consider the number of variations in holdings between consecutive reporting…
A strategy for playing the game of roulette is presented in this paper. The strategy is based on the same probabilistic argument that leads to the well-known Birthday Paradox in Probability theory. Following the strategy, a player will have…
Through a short sale, a person borrows a share of stock from a lender, sells the borrowed share to a third person at the current price, and purchases an identical share in the market at a future date and at a future price to replace the…
We study a dynamic portfolio optimization problem related to convergence trading, which is an investment strategy that exploits temporary mispricing by simultaneously buying relatively underpriced assets and selling short relatively…
We address the problem of portfolio optimization under the simplest coherent risk measure, i.e. the expected shortfall. As it is well known, one can map this problem into a linear programming setting. For some values of the external…
Any firm whose business strategy has an exposure constraint that limits its potential gain naturally considers expansion, as this can increase its exposure. We model business expansion as an enlargement of the opportunity set for business…
This work proposes a bid shading strategy for first-price auctions as a measure-valued optimization problem. We consider a standard parametric form for bid shading and formulate the problem as convex optimization over the joint distribution…
We study the aggregate welfare and individual regret guarantees of dynamic \emph{pacing algorithms} in the context of repeated auctions with budgets. Such algorithms are commonly used as bidding agents in Internet advertising platforms,…
The call auction is a widely used trading mechanism, especially during the opening and closing periods of financial markets. In this paper, we study a standard call auction problem where orders are submitted according to Poisson processes,…
In many repeated auction settings, participants care not only about how frequently they win but also how their winnings are distributed over time. This problem arises in various practical domains where avoiding congested demand is crucial,…