Related papers: Super-replication with proportional transaction co…

In this work we will develop a new approach to solve the non repayment problem in microfinance due to the problem of asymmetric information. This approach is based on modeling and simulation of ordinary differential systems where time…

We study the problem of maximising terminal utility for an agent facing model uncertainty, in a frictionless discrete-time market with one safe asset and finitely many risky assets. We show that an optimal investment strategy exists if the…

We introduce a robust optimization model consisting in a family of perturbation functions giving rise to certain pairs of dual optimization problems in which the dual variable depends on the uncertainty parameter. The interest of our…

We introduce a new model in order to describe the fluctuation of tick-by-tick financial time series. Our model, based on marked point process, allows us to incorporate in a unique process the duration of the transaction and the…

We consider a continuous-time market with proportional transaction costs. Under appropriate assumptions we prove the existence of optimal strategies for investors who maximize their worst-case utility over a class of possible models. We…

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.…

We consider a modification of the dividend maximization problem from ruin theory. Based on a classical risk process we maximize the difference of expected cumulated discounted dividends and total expected discounted additional funding…

We study the problem of collaborative machine learning markets where multiple parties can achieve improved performance on their machine learning tasks by combining their training data. We discuss desired properties for these machine…

We prove the Duality Theorems for the stochastic optimal transportation problems with a convex cost function without a regularity assumption that is often supposed in the proof of the lower semicontinuity of an action integral. In our new…

We show that the lack of arbitrage in a model with both fixed and proportional transaction costs is equivalent to the existence of a family of absolutely continuous single-step probability measures, together with an adapted process with…

Bilateral trade models the task of intermediating between two strategic agents, a seller and a buyer, willing to trade a good for which they hold private valuations. We study this problem from the perspective of a broker, in a regret…

We generalize the primal-dual methodology, which is popular in the pricing of early-exercise options, to a backward dynamic programming equation associated with time discretization schemes of (reflected) backward stochastic differential…

Previous studies into the budget constraint of portfolio optimization problems based on statistical mechanical informatics have not considered that the purchase cost per unit of each asset is distinct. Moreover, the fact that the optimal…

This paper studies an online replication problem for distributed data access. The goal is to dynamically create and delete data copies in a multi-server system as time passes to minimize the total storage and network cost of serving access…

We investigate the problem of jointly testing a pair of composite hypotheses and, depending on the test result, estimating a random parameter under distributional uncertainties. Specifically, it is assumed that the distribution of the data…

In this paper, we revisit the portfolio optimization problems of the minimization/maximization of investment risk under constraints of budget and investment concentration (primal problem) and the maximization/minimization of investment…

Motivated by the problem of market power in electricity markets, we introduced in previous works a mechanism for simplified markets of two agents with linear cost. In standard procurement auctions, the market power resulting from the…

This survey is an introduction to asymptotic methods for portfolio-choice problems with small transaction costs. We outline how to derive the corresponding dynamic programming equations and simplify them in the small-cost limit. This allows…

Explicit robust hedging strategies for convex or concave payoffs under a continuous semimartingale model with uncertainty and small transaction costs are constructed. In an asymptotic sense, the upper and lower bounds of the cumulative…

This paper studies the topic of cost-efficiency in incomplete markets. A payoff is called cost-efficient if it achieves a given probability distribution at some given investment horizon with a minimum initial budget. Extensive literature…