Related papers: Portfolio Optimization and Model Predictive Contro…
It has been assumed that arbitrage profits are not possible in efficient markets, because future prices are not predictable. Here we show that predictability alone is not a sufficient measure of market efficiency. We instead propose to…
In this work we are interested in the mean-field formulation of kinetic models under control actions where the control is formulated through a model predictive control strategy (MPC) with varying horizon. The relation between the (usually…
This paper proposes an iterative distributionally robust model predictive control (MPC) scheme to solve a risk-constrained infinite-horizon optimal control problem. In each iteration, the algorithm generates a trajectory from the starting…
Physical analogs have shown considerable promise for understanding the behavior of complex adaptive systems, including macroeconomics, biological systems, social networks, and electric power markets. Many of today's most challenging…
We consider a portfolio optimization problem in a defaultable market with finitely-many economical regimes, where the investor can dynamically allocate her wealth among a defaultable bond, a stock, and a money market account. The market…
Mainstream financial econometrics methods are based on models well tuned to replicate price dynamics, but with little to no economic justification. In particular, the randomness in these models is assumed to result from a combination of…
This study presents contemporaneous modeling of asset return and price range within the framework of stochastic volatility with leverage. A new representation of the probability density function for the price range is provided, and its…
The dynamics of many socioeconomic systems is determined by the decision making process of agents. The decision process depends on agent's characteristics, such as preferences, risk aversion, behavioral biases, etc.. In addition, in some…
Portfolio management problems are often divided into two types: active and passive, where the objective is to outperform and track a preselected benchmark, respectively. Here, we formulate and solve a dynamic asset allocation problem that…
This paper formulates and studies a general continuous-time behavioral portfolio selection model under Kahneman and Tversky's (cumulative) prospect theory, featuring S-shaped utility (value) functions and probability distortions. Unlike the…
A comprehensive approach addressing identification and control for learningbased Model Predictive Control (MPC) for linear systems is presented. The design technique yields a data-driven MPC law, based on a dataset collected from the…
Macroscopic properties of equity markets affect the performance of active equity strategies but many are not adequately captured by conventional models of financial mathematics and econometrics. Using the CRSP Database of the US equity…
We study a minimalist kinetic model for economies. A system of agents with local trading rules display emergent demand behaviour. We examine the resulting wealth distribution to look for non-thermal behaviour. We compare and contrast this…
The investment economy is a main characteristic of prosperous society. The investment portfolio management is a main financial problem, which has to be solved by the investment, commercial and central banks with the application of modern…
A competing market model with a polyvariant profit function that assumes "zeitnot" stock behavior of clients is formulated within the banking portfolio medium and then analyzed from the perspective of devising optimal strategies. An…
This study introduces a dynamic investment framework to enhance portfolio management in volatile markets, offering clear advantages over traditional static strategies. Evaluates four conventional approaches : equal weighted, minimum…
Factor models characterize the joint behavior of large sets of financial assets through a smaller number of underlying drivers. We develop a network-based framework in which factors emerge naturally from the structure of interactions among…
Prediction models calibrated using historical data may forecast poorly if the dynamics of the present and future differ from observations in the past. For this reason, predictions can be improved if information like forward looking views…
Recent studies have revealed a number of striking dependence patterns in high frequency stock price dynamics characterizing probabilistic interrelation between two consequent price increments x (push) and y (response) as described by the…
In the present paper, we identify several distributions from Physics and study their applicability to phenomena such as distribution of income, wealth, and expenditure. Firstly, we apply logistic distribution to these data and we find that…