Related papers: Foundations for Wash Sales
This paper addresses a novel \emph{cost-sensitive} distributionally robust log-optimal portfolio problem, where the investor faces \emph{ambiguous} return distributions, and a general convex transaction cost model is incorporated. The…
This paper presents a synthesis of the theories of portfolio generating functions and option pricing. The theory of portfolio generation is extended to measure the value of portfolios generated by positive C^{2,1} functions of asset prices…
We investigate how and when to diversify capital over assets, i.e., the portfolio selection problem, from a signal processing perspective. To this end, we first construct portfolios that achieve the optimal expected growth in i.i.d.…
Nash's solution in his celebrated article on the bargaining problem calling for maximization of product of marginal utilities is revisited; a different line of argument supporting such a solution is suggested by straightforward or more…
Managing investment portfolios is an old and well know problem in multiple fields including financial mathematics and financial engineering as well as econometrics and econophysics. Multiple different concepts and theories were used so far…
This paper considers an insurance company that faces two key constraints: a ratcheting dividend constraint and an irreversible reinsurance constraint. The company allocates part of its reserve to pay dividends to its shareholders while…
In the frictionless discrete time financial market of Bouchard et al.(2015) we consider a trader who, due to regulatory requirements or internal risk management reasons, is required to hedge a claim $\xi$ in a risk-conservative way relative…
We consider the {\em multi-shop ski rental} problem. This problem generalizes the classic ski rental problem to a multi-shop setting, in which each shop has different prices for renting and purchasing a pair of skis, and a \emph{consumer}…
The gain-loss asymmetry, observed in the inverse statistics of stock indices is present for logarithmic return levels that are over $2\%$, and it is the result of the non-Pearson type auto-correlations in the index. These non-Pearson type…
We consider the investor who doesn't trade shares of his portfolio. The investor only observes the current trades made in the market with his securities to estimate the current return, variance, and risks of his unchanged portfolio. We show…
In this paper, we consider the problem of optimization of a portfolio consisting of securities. An investor with an initial capital, is interested in constructing a portfolio of securities. If the prices of securities change, the investor…
The sequential sampling of populations with unequal probabilities and with replacement in a closed population is a recurrent problem in ecology and evolution. Many of these questions can be reformulated as urn problems, often as special…
Trailing stop is a popular stop-loss trading strategy by which the investor will sell the asset once its price experiences a pre-specified percentage drawdown. In this paper, we study the problem of timing buy and then sell an asset subject…
We study a problem of optimal investment/consumption over an infinite horizon in a market consisting of two possibly correlated assets: one liquid and one illiquid. The liquid asset is observed and can be traded continuously, while the…
This paper considers time-inconsistent problems when control and stopping strategies are required to be made simultaneously (called stopping control problems by us). We first formulate the timeinconsistent stopping control problems under…
Wash trading, the practice of simultaneously placing buy and sell orders for the same asset to inflate trading volume, has been prevalent in cryptocurrency markets. This paper investigates whether wash traders in Bitcoin act deliberately to…
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 use the method of Maximum (relative) Entropy to process information in the form of observed data and moment constraints. The generic "canonical" form of the posterior distribution for the problem of simultaneous updating with data and…
We study the liquid welfare in sequential first-price auctions with budget-limited buyers. We focus on first-price auctions, which are increasingly commonly used in many settings, and consider liquid welfare, a natural and well-studied…
The push-forward operation enables one to redistribute a probability measure through a deterministic map. It plays a key role in statistics and optimization: many learning problems (notably from optimal transport, generative modeling, and…