Related papers: Relative Arbitrage: Sharp Time Horizons and Motion…
The closed-loop stability and infinite-horizon performance of receding-horizon approximations are studied for non-stationary linear-quadratic regulator (LQR) problems. The approach is based on a lifted reformulation of the optimal control…
We examine the causal and geometric horizons of dynamical black holes in Lemaitre-Tolman-Bondi collapsing dust spacetimes. Marginally trapped tubes in these spacetimes may be spacelike, timelike or null and may also be sourced from or…
For a given time horizon DT, this article explores the relationship between the realized volatility (the volatility that will occur between t and t+DT), the implied volatility (corresponding to at-the-money option with expiry at t+DT), and…
In a companion paper [1], we have presented a cross-correlation approach to near-horizon physics in which bulk dynamics is probed through the correlation of quantities defined at inner and outer spacetime hypersurfaces acting as test…
We derive a closed-form expression capturing the degree of Relative Risk Aversion (RRA) of investors for non-"fair" lotteries. We argue that our formula is superior to earlier methods that have been proposed, as it is a function of only…
We describe how the market-based average and volatility of the "actual" return, which the investors gain within their market sales, depend on the statistical moments, volatilities, and correlations of the current and past market trade…
This paper proves a theorem about the existence of an apparent horizon in general relativity, which applies equally well to vacuum configurations and matter configurations. The theorem uses the reciprocal of the surface-to-volume ratio of a…
This paper examines an optimal investment problem in a continuous-time (essentially) complete financial market with a finite horizon. We deal with an investor who behaves consistently with principles of Cumulative Prospect Theory, and whose…
This note develops an arbitrage theory for a discrete-time market model without the assumption of the existence of a num\'eraire asset. Fundamental theorems of asset pricing are stated and proven in this context. The distinction between the…
In an incomplete market, including liquidly-traded European options in an investment portfolio could potentially improve the expected terminal utility for a risk-averse investor. However, unlike the Sharpe ratio, which provides a concise…
We establish a convergence result for the mean curvature flow starting from a totally real submanifold which is "almost minimal" in a precise, quantitative sense. This extends, and makes effective, a result of H. Li for the Lagrangian mean…
In this study we prove the existence of statistical arbitrage opportunities in the Black-Scholes framework by considering trading strategies that consists of borrowing from the risk free rate and taking a long position in the stock until it…
We introduce polynomial processes in the sense of [8] in the context of stochastic portfolio theory to model simultaneously companies' market capitalizations and the corresponding market weights. These models substantially extend volatility…
The inverse statistics is the distribution of waiting times needed to achieve a predefined level of return obtained from (detrended) historic asset prices \cite{optihori,gainloss}. Such a distribution typically goes through a maximum at a…
We treat two aspects of the physics of stationary black holes. First we prove that the proportionality, d(energy) ~ d(area) for arbitrary perturbations (``extended first law''), follows directly from an extremality theorem drawn from…
We study the upper hedging price for contingent claims in market models with strong types of arbitrage: increasing profit, strong arbitrage, and arbitrage of the first kind. The existence of arbitrage may make the price smaller than if it…
We use a replica approach to deal with portfolio optimization problems. A given risk measure is minimized using empirical estimates of asset values correlations. We study the phase transition which happens when the time series is too short…
We obtain an optimal estimate for the extrinsic curvature of an entire minimal graph in $\H^2\times\R$, $\H^2$ the hyperbolic plane.
The usual theory of asset pricing in finance assumes that the financial strategies, i.e. the quantity of risky assets to invest, are real-valued so that they are not integer-valued in general, see the Black and Scholes model for instance.…
In this paper, we address the efficient implementation of moving horizon state estimation of constrained discrete-time linear systems. We propose a novel iteration scheme which employs a proximity-based formulation of the underlying…