Related papers: Game-Theoretic Capital Asset Pricing in Continuous…
We study capital process behavior in the fair-coin game and biased-coin games in the framework of the game-theoretic probability of Shafer and Vovk (2001). We show that if Skeptic uses a Bayesian strategy with a beta prior, the capital…
In a discrete-time setting, we study arbitrage concepts in the presence of convex trading constraints. We show that solvability of portfolio optimization problems is equivalent to absence of arbitrage of the first kind, a condition weaker…
We study the Merton portfolio management problem within a complete market, non constant time discount rate and general utility framework. The non constant discount rate introduces time inconsistency which can be solved by introducing sub…
An average-time game is played on the infinite graph of configurations of a finite timed automaton. The two players, Min and Max, construct an infinite run of the automaton by taking turns to perform a timed transition. Player Min wants to…
We study a portfolio optimization problem for competitive agents with CRRA utilities and a common finite time horizon. The utility of an agent depends not only on her absolute wealth and consumption but also on her relative wealth and…
This paper describes recent development and test implementation of a continuous time recurrent neural network that has been configured to predict rates of change in securities. It presents outcomes in the context of popular technical…
We consider a simplified version of the Wealth Game, which is an agent-based financial market model with many interesting features resembling the real stock market. Market makers are not present in the game so that the majority traders are…
Game contingent claims (GCCs) generalize American contingent claims by allowing the writer to recall the option as long as it is not exercised, at the price of paying some penalty. In incomplete markets, an appealing approach is to analyze…
This paper is devoted to a study of robust fundamental theorems of asset pricing in discrete time and finite horizon settings. Uncertainty is modelled by a (possibly uncountable) family of price processes on the same probability space. Our…
Simultaneous reproduction of all financial stylized facts is so difficult that most existing stochastic process-based and agent-based models are unable to achieve the goal. In this study, by extending the decision-making structure of…
In this paper, we study the portfolio optimization problem formulated by Lacker and Soret. They formulate a finite time horizon model that allows agents to be competitive, measuring their utility not only by their absolute wealth but also…
Quantum theory is used to model secondary financial markets. Contrary to stochastic descriptions, the formalism emphasizes the importance of trading in determining the value of a security. All possible realizations of investors holding…
In this work we study the continuous time exponential utility maximization problem in the framework of an investor who is informed about the price changes with a delay. This leads to a non-Markovian stochastic control problem. In the case…
We consider a general discrete-time financial market with proportional transaction costs as in [Kabanov, Stricker and R\'{a}sonyi Finance and Stochastics 7 (2003) 403--411] and [Schachermayer Math. Finance 14 (2004) 19--48]. In addition to…
Summarized by the efficient market hypothesis, the idea that stock prices fully reflect all available information is always confronted with the behavior of real-world markets. While there is plenty of evidence indicating and quantifying the…
Quantum Decision Theory, advanced earlier by the authors, and illustrated for lotteries with gains, is generalized to the games containing lotteries with gains as well as losses. The mathematical structure of the approach is based on the…
Two-player zero-sum games are a well-established model for synthesising controllers that optimise some performance criterion. In such games one player represents the controller, while the other describes the (adversarial) environment, and…
We consider games of chance played by someone with external capital that cannot be applied to the game and determine how this affects risk-adjusted optimal betting. Specifically, we focus on Kelly optimization as a metric, optimizing the…
A financial market model with general semimartingale asset-price processes and where agents can only trade using no-short-sales strategies is considered. We show that wealth processes using continuous trading can be approximated very…
This paper investigates cash productivity as a signal for future stock performance, building on the cash-return framework of Faulkender and Wang (2006). Using financial and market data from WRDS, we calculate cash returns as a proxy for…