Related papers: Exact Solutions for Optimal Investment Strategies …
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…
Discrete optimization is a central problem in artificial intelligence. The optimization of the aggregated cost of a network of cost functions arises in a variety of problems including (W)CSP, DCOP, as well as optimization in stochastic…
Rough stochastic volatility models have attracted a lot of attentions recently, in particular for the linear option pricing problem. In this paper, starting with power utilities, we propose to use a martingale distortion representation of…
We investigate an optimal investment problem with a general performance criterion which, in particular, includes discontinuous functions. Prices are modeled as diffusions and the market is incomplete. We find an explicit solution for the…
Current state-of-the-art methods for solving discrete optimization problems are usually restricted to convex settings. In this paper, we propose a general approach based on cutting planes for solving nonlinear, possibly nonconvex, binary…
The classical optimal investment and consumption problem with infinite horizon is studied in the presence of transaction costs. Both proportional and fixed costs as well as general utility functions are considered. Weak dynamic programming…
We study a general robust utility maximization problem in a discrete-time frictionless market. The investor is assumed to have a possibly infinite, random, nonconcave, and nondecreasing utility function defined on the whole real line. She…
A unified framework to derive optimized compact schemes for a uniform grid is presented. The optimal scheme coefficients are determined analytically by solving an optimization problem to minimize the spectral error subject to equality…
The aim of this short note is to establish a limit theorem for the optimal trading strategies in the setup of the utility maximization problem with proportional transaction costs. This limit theorem resolves the open question from [4]. The…
We construct an utility-based dynamic asset pricing model for a limit order market. The price is nonlinear in volume and subject to market impact. We solve an optimal hedging problem under the market impact and derive the dynamics of the…
We consider a multi-stock continuous time incomplete market model with random coefficients. We study the investment problem in the class of strategies which do not use direct observations of the appreciation rates of the stocks, but rather…
We study the expected utility maximization problem of a large investor who is allowed to make transactions on tradable assets in an incomplete financial market with endogenous permanent market impacts. The asset prices are assumed to follow…
We construct a finite element like scheme for fully non-linear integro-partial differential equations arising in optimal control of jump-processes. Special cases of these equations include optimal portfolio and option pricing equations in…
Finite-difference methods are widely used for zeroth-order optimization in settings where gradient information is unavailable or expensive to compute. These procedures mimic first-order strategies by approximating gradients through function…
The primary focus of this paper is on designing an inexact first-order algorithm for solving constrained nonlinear optimization problems. By controlling the inexactness of the subproblem solution, we can significantly reduce the…
In this work, we deal with the problem of computing a comprehensive front of efficient solutions in multi-objective portfolio optimization problems in presence of sparsity constraints. We start the discussion pointing out some weaknesses of…
Finite-difference methods are a class of algorithms designed to solve black-box optimization problems by approximating a gradient of the target function on a set of directions. In black-box optimization, the non-smooth setting is…
We study optimal liquidation strategies under partial information for a single asset within a finite time horizon. We propose a model tailored for high-frequency trading, capturing price formation driven solely by order flow through…
We consider an optimal consumption/investment problem to maximize expected utility from consumption. In this market model, the investor is allowed to choose a portfolio which consists of one bond, one liquid risky asset (no transaction…
Pricing financial or real options with arbitrary payoffs in regime-switching models is an important problem in finance. Mathematically, it is to solve, under certain standard assumptions, a general form of optimal stopping problems in…