Related papers: A Relation between Short-Term and Long-Term Arbitr…

Equilibrium in Economics has been seldom addressed in a situation where some variables are discrete. This work introduces a problem related to lot-sizing with several players, and analyses some strategies which are likely to be found in…

This paper develops a mathematical framework for building a position in a stock over a fixed period of time while in competition with one or more other traders doing the same thing. We develop a game-theoretic framework that takes place in…

We consider a popular model of microeconomics with countably many assets: the Arbitrage Pricing Model. We study the problem of optimal investment under an expected utility criterion and look for conditions ensuring the existence of optimal…

The strong relative arbitrage problem in Stochastic Portfolio Theory seeks an investment strategy that almost surely outperforms a benchmark portfolio at the end of a given time horizon. The highest relative return in relative arbitrage…

This paper investigates portfolio selection within a continuous-time financial market with regime-switching and beliefs-dependent utilities. The market coefficients and the investor's utility function both depend on the market regime, which…

This paper provides a general method to directly translate a classical economic framework with a large number of agents into a field-formalism model. This type of formalism allows the analytical treatment of economic models with an…

This paper derives the expressions of correlations between prices of two assets, returns of two assets, and price-return correlations of two assets that depend on statistical moments and correlations of the current values, past values, and…

In this study, we have investigated empirically the effects of market properties on the degree of diversification of investment weights among stocks in a portfolio. The weights of stocks within a portfolio were determined on the basis of…

The study examined the relationship between capital market performance and the macroeconomic dynamics in Nigeria, and it utilized secondary data spanning 1993 to 2020. The data was analyzed using vector error correction model (VECM)…

We study equilibrium concepts in non-cooperative games under uncertainty where both beliefs and mixed strategies are represented by non-additive measures (capacities). In contrast to the classical Nash framework based on additive…

A market model in Stochastic Portfolio Theory is a finite system of strictly positive stochastic processes. Each process represents the capitalization of a certain stock. If at any time no stock dominates almost the entire market, which…

We consider the randomness of market trade as the origin of price and return stochasticity. We look at time series of trade values and volumes as random variables during the averaging interval {\Delta} and describe the dependences of…

We consider the Brownian market model and the problem of expected utility maximization of terminal wealth. We, specifically, examine the problem of maximizing the utility of terminal wealth under the presence of transaction costs of a…

We present a model that investigates the spontaneous emergence of randomness in equity market microstructure. The phase space analysis of our model exposes an endogenous source of fluctuation in price and volume. We formulate a control…

This paper describes the dependence of market-based statistical moments of returns on statistical moments and correlations of the current and past trade values. We use Markowitz's definition of value weighted return of a portfolio as the…

Despite the stunning progress recently in large-scale deep neural network applications, our understanding of their microstructure, 'energy' functions, and optimal design remains incomplete. Here, we present a new game-theoretic framework,…

We study a multi-agent decision problem in population games, where agents select from multiple available strategies and continually revise their selections based on the payoffs associated with these strategies. Unlike conventional…

This paper studies some unconventional utility maximization problems when the ratio type relative portfolio performance is periodically evaluated over an infinite horizon. Meanwhile, the agent is prohibited from short-selling stocks. Our…

This paper addresses the portfolio selection problem for nonlinear law-dependent preferences in continuous time, which inherently exhibit time inconsistency. Employing the method of stochastic maximum principle, we establish verification…

A general theory of stochastic extensive forms is developed to bridge two concepts of information flow: decision trees and refined partitions on the one side, filtrations from probability theory on the other. Instead of the traditional…