Related papers: A short note on "Anticipative portfolio optimizati…

This paper studies the problem of maximizing the expected utility of terminal wealth for a financial agent with an unbounded random endowment, and with a utility function which supports both positive and negative wealth. We prove the…

We address the fundamental limits of learning unknown parameters of any stochastic process from time-series data, and discover exact closed-form expressions for how optimal inference scales with observation length. Given a parametrized…

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…

We hypothesize that portfolio sorts based on the V/P ratio generate excess returns and consist of companies that are undervalued for prolonged periods. Results, for the US market show that high V/P portfolios outperform low V/P portfolios…

The advances and development of various machine learning techniques has lead to practical solutions in various areas of science, engineering, medicine and finance. The great choice of algorithms, their implementations and libraries has…

The price impact for a single trade is estimated by the immediate response on an event time scale, i.e., the immediate change of midpoint prices before and after a trade. We work out the price impacts across a correlated financial market.…

Possibilistic risk theory starts from the hypothesis that risk is modelled by fuzzy numbers. In particular, in a possibilistic portfolio choice problem, the return of a risky asset will be a fuzzy number. The expected utility operators have…

In this paper, we discuss the ambiguous chance constrained based portfolio optimization problems, in which the perturbations associated with the input parameters are stochastic in nature, but their distributions are not known precisely. We…

Portfolio optimization has been an area that has attracted considerable attention from the financial research community. Designing a profitable portfolio is a challenging task involving precise forecasting of future stock returns and risks.…

A celebrated impossibility result by Myerson and Satterthwaite (1983) shows that any truthful mechanism for two-sided markets that maximizes social welfare must run a deficit, resulting in a necessity to relax welfare efficiency and the use…

Value iteration is a popular algorithm for finding near optimal policies for POMDPs. It is inefficient due to the need to account for the entire belief space, which necessitates the solution of large numbers of linear programs. In this…

We consider the problem of optimal investment with intermediate consumption in a general semimartingale model of an incomplete market, with preferences being represented by a utility stochastic field. We show that the key conclusions of the…

Assuming that price of the underlying stock is moving in range bound, the Black-Scholes formula for options pricing supports a separation of variables. The resulting time-independent equation is solved employing different behavior of the…

We study problems with stochastic uncertainty information on intervals for which the precise value can be queried by paying a cost. The goal is to devise an adaptive decision tree to find a correct solution to the problem in consideration…

The importance of considering the volumes to analyze stock prices movements can be considered as a well-accepted practice in the financial area. However, when we look at the scientific production in this field, we still cannot find a…

We consider the problem of choosing a portfolio that maximizes the cumulative prospect theory (CPT) utility on an empirical distribution of asset returns. We show that while CPT utility is not a concave function of the portfolio weights, it…

We investigate the role of Massey's directed information in portfolio theory, data compression, and statistics with causality constraints. In particular, we show that directed information is an upper bound on the increment in growth rates…

Optimal trading is a recent field of research which was initiated by Almgren, Chriss, Bertsimas and Lo in the late 90's. Its main application is slicing large trading orders, in the interest of minimizing trading costs and potential…

The portfolio optimisation problem, first raised by Harry Markowitz in 1952, has been a fundamental and central topic to understanding the stock market and making decisions. There has been plenty of works contributing to development of the…

Fluctuations in stock prices are influenced by a complex interplay of factors that go beyond mere historical data. These factors, themselves influenced by external forces, encompass inter-stock dynamics, broader economic factors, various…