Related papers: Trading Strategies Generated by Lyapunov Functions
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.…
Factor strategies have gained growing popularity in industry with the fast development of machine learning. Usually, multi-factors are fed to an algorithm for some cross-sectional return predictions, which are further used to construct a…
We analyze actively managed mutual funds in China from 2005 to 2017. We develop performance measures for asset allocation and selection. We find that stock selection ability from holding-based model is positively correlated with selection…
We analyze characteristics' joint predictive information through the lens of out-of-sample power utility functions. Linking weights to characteristics to form optimal portfolios suffers from estimation error which we mitigate by maximizing…
Functional equations (FE) arise quite naturally in the analysis of stochastic systems of different kinds : queueing and telecommunication networks, random walks, enumeration of planar lattice walks, etc. Frequently, the object is to…
Online portfolio selection is a fundamental problem in computational finance, which has been extensively studied across several research communities, including finance, statistics, artificial intelligence, machine learning, and data mining,…
More than seventy years ago Harry Markowitz formulated portfolio construction as an optimization problem that trades off expected return and risk, defined as the standard deviation of the portfolio returns. Since then the method has been…
This paper introduces StockGPT, an autoregressive ``number'' model trained and tested on 70 million daily U.S.\ stock returns over nearly 100 years. Treating each return series as a sequence of tokens, StockGPT automatically learns the…
This paper investigates the problem of ensembling multiple strategies for sequential portfolios to outperform individual strategies in terms of long-term wealth. Due to the uncertainty of strategies' performances in the future market, which…
This paper considers the constrained portfolio optimization in a generalized life-cycle model. The individual with a stochastic income manages a portfolio consisting of stocks, a bond, and life insurance to maximize his or her consumption…
Data is vital in enabling machine learning models to advance research and practical applications in finance, where accurate and robust models are essential for investment and trading decision-making. However, real-world data is limited…
We study the convergence analysis of continuous-time dynamical systems associated with optimization methods for strongly convex functions. Recent works have proposed systematic constructions of Lyapunov functions for such analysis, while…
In this paper, we implement and evaluate a conditional diffusion model for asset return prediction and portfolio construction on large-scale equity data. Our method models the full distribution of future returns conditioned on firm…
We start from the observation that, anytime two Markov generators share an eigenvalue, the function constructed from the product of the two eigenfunctions associated to this common eigenvalue is a duality function. We push further this…
The construction of an efficient portfolio with a good level of return and minimal risk depends on selecting the optimal combination of stocks. This paper introduces a novel decision-making framework for stock selection based on fractional…
We study the existence of the numeraire portfolio under predictable convex constraints in a general semimartingale model of a financial market. The numeraire portfolio generates a wealth process, with respect to which the relative wealth…
We provide general methods for explicitly constructing strict Lyapunov functions for fully nonlinear slowly time-varying systems. Our results apply to cases where the given dynamics and corresponding frozen dynamics are not necessarily…
Given the return series for a set of instruments, a \emph{trading strategy} is a switching function that transfers wealth from one instrument to another at specified times. We present efficient algorithms for constructing (ex-post) trading…
This study examines portfolio selection using predictive models for portfolio returns. Portfolio selection is a fundamental task in finance, and a variety of methods have been developed to achieve this goal. For instance, the mean-variance…
Suppose that $X_1, \ldots , X_n$ are continuous semimartingales that are reversible and have nondegenerate crossings. Then the corresponding rank processes can be represented by generalized Stratonovich integrals, and this representation…