Related papers: What Makes An Asset Useful?
The variance measures the portfolio risks the investors are taking. The investor, who holds his portfolio and doesn't trade his shares, at the current time can use the time series of the market trades that were made during the averaging…
Mean-reverting assets are one of the holy grails of financial markets: if such assets existed, they would provide trivially profitable investment strategies for any investor able to trade them, thanks to the knowledge that such assets…
We consider a continuous-time game-theoretic model of an investment market with short-lived assets and endogenous asset prices. The first goal of the paper is to formulate a stochastic equation which determines wealth processes of investors…
We propose a novel approach to infer investors' risk preferences from their portfolio choices, and then use the implied risk preferences to measure the efficiency of investment portfolios. We analyze a dataset spanning a period of six…
The main contribution of the paper is to employ the financial market network as a useful tool to improve the portfolio selection process, where nodes indicate securities and edges capture the dependence structure of the system. Three…
We study existence, uniqueness and computability of solutions for a class of discrete time recursive utilities models. By combining two streams of the recent literature on recursive preferences---one that analyzes principal eigenvalues of…
We revisit the problem of portfolio selection, where an investor maximizes utility subject to a risk constraint. Our framework is very general and accommodates a wide range of utility and risk functionals, including non-concave utilities…
This paper proposes a simulation-based framework for assessing and improving the performance of a pension fund management scheme. This framework is modular and allows the definition of customized performance metrics that are used to assess…
The article considers the quantitative assessment approach to the innovativeness of different objects. The proposed assessment model is based on the object data retrieval from various databases including the Internet. We present an object…
A method for calculating multi-portfolio time consistent multivariate risk measures in discrete time is presented. Market models for $d$ assets with transaction costs or illiquidity and possible trading constraints are considered on a…
In consumer search, there is a set of items. An agent has a prior over her value for each item and can pay a cost to learn the instantiation of her value. After exploring a subset of items, the agent chooses one and obtains a payoff equal…
Sharpe ratio (sometimes also referred to as information ratio) is widely used in asset management to compare and benchmark funds and asset managers. It computes the ratio of the (excess) net return over the strategy standard deviation.…
Different machine learning techniques have been proposed and used for modeling individual and group user needs, interests and preferences. In the traditional predictive modeling instances are described by observable variables, called…
We develop appropriately generalized notions of indexability for problems of dynamic resource allocation where the resource concerned may be assigned more flexibility than is allowed, for example, in classical multi-armed bandits. Most…
Tasks that require information about the world imply a trade-off between the time spent on observation and the variance of the response. In particular, fast decisions need to rely on uncertain information. However, standard estimates of…
We consider an investment process that includes a number of features, each of which can be active or inactive. Our goal is to attribute or decompose an achieved performance to each of these features, plus a baseline value. There are many…
We provide sufficient conditions under which a utility function may be recovered from a finite choice experiment. Identification, as is commonly understood in decision theory, is not enough. We provide a general recoverability result that…
We study whether a risk-sensitive objective from asset-pricing theory -- recursive utility -- improves reinforcement learning for portfolio allocation. The Bellman equation under recursive utility involves a certainty equivalent (CE) of…
The aim of this work consists in the study of the optimal investment strategy for a behavioural investor, whose preference towards risk is described by both a probability distortion and an S-shaped utility function. Within a continuous-time…
We design an optimal strategy for investment in a portfolio of assets subject to a multiplicative Brownian motion. The strategy provides the maximal typical long-term growth rate of investor's capital. We determine the optimal fraction of…