Related papers: Game-Theoretic Optimal Portfolios for Jump Diffusi…
In this paper, we consider zero-sum repeated games in which the maximizer is restricted to strategies requiring no more than a limited amount of randomness. Particularly, we analyze the maxmin payoff of the maximizer in two models: the…
We present a data-driven framework to model the stochastic evolution of volume-price distribution from the New York Stock Exchange (NYSE) equities. The empirical distributions are sampled every 10 minutes over 976 trading days, and fitted…
We study stochastic differential games of jump diffusions, where the players have access to inside information. Our approach is based on anticipative stochastic calculus, white noise, Hida-Malliavin calculus, forward integrals and the…
This paper develops a method to derive optimal portfolios and risk premia explicitly in a general diffusion model for an investor with power utility and a long horizon. The market has several risky assets and is potentially incomplete.…
We study option prices in financial markets where the risky asset prices are modelled by jump diffusions. It was proposed by Schweizer (1996) in a general semimartingale setting, following earlier works by F\"ollmer and Sondermann (1986)…
We propose and study a simple model of dynamical redistribution of capital in a diversified portfolio. We consider a hypothetical situation of a portfolio composed of N uncorrelated stocks. Each stock price follows a multiplicative random…
The takeoff point for this paper is the voluminous body of literature addressing recursive betting games with expected logarithmic growth of wealth being the performance criterion. Whereas almost all existing papers involve use of linear…
A variation on Janowski's cubeful equity model is proposed for cube handling in backgammon money games. Instead of approximating the cubeful take point as an interpolation between the dead and live cube limits, a new model is developed…
We study the optimal financing and dividend distribution problem with restricted dividend rates in a diffusion type surplus model where the drift and volatility coefficients are general functions of the level of surplus and the external…
We study a contest in which $N$ players sequentially draw from a distribution as many times as they want at a fixed cost per draw, with no recall, and the highest accepted value wins a prize. In the unique symmetric equilibrium, the…
In this paper, motivated by the celebrated work of Kelly, we consider the problem of portfolio weight selection to maximize expected logarithmic growth. Going beyond existing literature, our focal point here is the rebalancing frequency…
In this work we consider an agent based model in order to study the wealth distribution problem where the interchange is determined with a symmetric zero sum game. Simultaneously, the agents update their way of play trying to learn the…
We consider normal-form games with $n$ players and two strategies for each player, where the payoffs are i.i.d. random variables with some distribution $F$ and we consider issues related to the pure equilibria in the game as the number of…
This paper extends the results of the article [C. Kl\"{u}ppelberg and S. M. Pergamenchtchikov. Optimal consumption and investment with bounded downside risk for power utility functions. In Optimality and Risk: {\it Modern Trends in…
We consider the mean--variance portfolio optimization problem under the game theoretic framework and without risk-free assets. The problem is solved semi-explicitly by applying the extended Hamilton--Jacobi--Bellman equation. Although the…
Cover's celebrated theorem states that the long run yield of a properly chosen "universal" portfolio is as good as the long run yield of the best retrospectively chosen constant rebalanced portfolio. The "universality" pertains to the fact…
In this paper we consider the problem of calculating the quantiles of a risky position, the dynamic of which is described as a continuous time regime-switching jump-diffusion, by using Fourier Transform methods. Furthermore, we study a…
We study in detail and explicitly solve the version of Kyle's model introduced in a specific case in \cite{BB}, where the trading horizon is given by an exponentially distributed random time. The first part of the paper is devoted to the…
In this paper we further extend the optimal bubble riding model proposed by Tangpi and Wang by allowing for price-dependent entry times. Agents are characterized by their individual entry threshold that represents their belief in the…
In this work, we study a dynamic portfolio optimization problem related to pairs trading, which is an investment strategy that matches a long position in one security with a short position in another security with similar characteristics.…