Related papers: On portfolios generated by optimal transport
Drifts of asset returns are notoriously difficult to model accurately and, yet, trading strategies obtained from portfolio optimization are very sensitive to them. To mitigate this well-known phenomenon we study robust growth-optimization…
We construct a thin double category HS (Hub-and-Spoke) whose objects are closed subsets of standard simplices, horizontal morphisms are continuous maps representing portfolio re-implementation processes, and vertical morphisms are closed…
We establish dual attainment for the multimarginal, multi-asset martingale optimal transport (MOT) problem, a fundamental question in the mathematical theory of model-independent pricing and hedging in quantitative finance. Our main result…
We introduce a faithful representation of the heavy tail multivariate distribution of asset returns, as parsimonous as the Gaussian framework. Using calculation techniques of functional integration and Feynman diagrams borrowed from…
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…
In this paper, we present a novel and principled approach to learn the optimal transport between two distributions, from samples. Guided by the optimal transport theory, we learn the optimal Kantorovich potential which induces the optimal…
Mean-variance portfolio optimization problems often involve separable nonconvex terms, including penalties on capital gains, integer share constraints, and minimum position and trade sizes. We propose a heuristic algorithm for such problems…
A fractal approach to the long-short portfolio optimization is proposed. The algorithmic system based on the composition of market-neutral spreads into a single entity was considered. The core of the optimization scheme is a fractal walk…
Performance analysis, from the external point of view of a client who would only have access to returns and holdings of a fund, evolved towards exact attribution made in the context of portfolio optimisation, which is the internal point of…
Duality for robust hedging with proportional transaction costs of path dependent European options is obtained in a discrete time financial market with one risky asset. Investor's portfolio consists of a dynamically traded stock and a static…
We introduce a bond portfolio management theory based on foundations similar to those of stock portfolio management. A general continuous-time zero-coupon market is considered. The problem of optimal portfolios of zero-coupon bonds is…
Solving large-scale robust portfolio optimization problems is challenging due to the high computational demands associated with an increasing number of assets, the amount of data considered, and market uncertainty. To address this issue, we…
This paper derives a portfolio decomposition formula when the agent maximizes utility of her wealth at some finite planning horizon. The financial market is complete and consists of multiple risky assets (stocks) plus a risk free asset. The…
We prove discrete-to-continuum convergence for dynamical optimal transport on $\mathbb{Z}^d$-periodic graphs with energy density having linear growth at infinity. This result provides an answer to a problem left open by Gladbach, Kopfer,…
An innovative extension of Geometric Brownian Motion model is developed by incorporating a weighting factor and a stochastic function modelled as a mixture of power and trigonometric functions. Simulations based on this Modified Brownian…
Von Neumann-Gale dynamical systems are defined in terms of multivalued operators in spaces of random vectors, possessing certain properties of convexity and homogeneity. A central role in the theory of such systems is played by a special…
Many biological networks grow by elongation of filaments that can branch and fuse -- typical examples include fungal mycelium or slime mold. These networks must simultaneously perform multiple tasks such as transport, exploration, and…
Parallel transport of a connection in a smooth fibre bundle yields a functor from the path groupoid of the base manifold into a category that describes the fibres of the bundle. We characterize functors obtained like this by two notions we…
We construct Two-Point Flux Approximation (TPFA) finite volume schemes to solve the quadratic optimal transport problem in its dynamic form, namely the problem originally introduced by Benamou and Brenier. We show numerically that these…
We consider an infinite horizon portfolio problem with borrowing constraints, in which an agent receives labor income which adjusts to financial market shocks in a path dependent way. This path-dependency is the novelty of the model, and…