Related papers: Some Issues In Securitization And Disintermediatio…

In this work, we address the optimal retirement problem in the presence of a stochastic wage, formulated as a free boundary problem. Specifically, we explore an incomplete market setting where the wage cannot be perfectly hedged through…

We consider the problem of optimal consumption from labor income and investment in a general incomplete semimartingale market. The economic agent cannot borrow against future income, so the total wealth is required to be positive at (all or…

In this paper we explore optimal liquidation in a market populated by a number of heterogeneous market makers that have limited inventory-carrying and risk-bearing capacity. We derive a reduced form model for the dynamic of their aggregated…

In the present work we develop a formalism to tackle the problem of optimal execution when trading market securities. More precisely, we introduce a utility function that balances market impact and timing risk, with this last being modelled…

Closure problems are omnipresent when simulating multiscale systems, where some quantities and processes cannot be fully prescribed despite their effects on the simulation's accuracy. Recently, scientific machine learning approaches have…

We develop a theory for state-based noninterference in a setting where different security policies---we call them local policies---apply in different parts of a given system. Our theory comprises appropriate security definitions,…

This paper addresses decision-aiding problems that involve multiple objectives and uncertain states of the world. Inspired by the capability approach, we focus on cases where a policy maker chooses an act that, combined with a state of the…

We consider a discrete-time model of a financial market where a risky asset is bought and sold with transactions having a transient price impact. It is shown that the corresponding utility maximization problem admits a solution. We manage…

Polarization is a major concern for a well-functioning society. Often, mass polarization of a society is driven by polarizing political representation, even when the latter is easily preventable. The existing computational social choice…

Building on ideas from online convex optimization, we propose a general framework for the design of efficient securities markets over very large outcome spaces. The challenge here is computational. In a complete market, in which one…

This paper extends the utility maximization literature by combining partial information and (robust) regulatory constraints. Partial information is characterized by the fact that the stock price itself is observable by the optimizing…

Deriving the optimal safety stock quantity with which to meet customer satisfaction is one of the most important topics in stock management. However, it is difficult to control the stock management of correlated marketable merchandise when…

Managing investment portfolios is an old and well know problem in multiple fields including financial mathematics and financial engineering as well as econometrics and econophysics. Multiple different concepts and theories were used so far…

A widely used technique for improving policies is success conditioning, in which one collects trajectories, identifies those that achieve a desired outcome, and updates the policy to imitate the actions taken along successful trajectories.…

The efficacy of robust optimization spans a variety of settings with uncertainties bounded in predetermined sets. In many applications, uncertainties are affected by decisions and cannot be modeled with current frameworks. This paper takes…

In this paper, we consider controlled linear dynamical systems in which the controller has only access to a compressed version of the system state. The technical problem we investigate is that of allocating compression resources over time…

In this paper, making use of recent statistical physics techniques and models, we address the specific role of randomness in financial markets, both at the micro and the macro level. In particular, we review some recent results obtained…

Decentralized Finance (DeFi) has reshaped the possibilities of reserve banking in the form of the Collateralized Debt Position (CDP). Key to the safety of CDPs is the money supply architecture that enables issued debt to maintain its value.…

The management of data and digital assets poses various challenges, including the need to adhere to legal requirements with respect to personal data protection and copyright. Usage control technologies could be used by software platform…

Systemic risk in banking systems remains a crucial issue that it has not been completely understood. In our toy model, banks are exposed to two sources of risks, namely, market risk from their investments in assets external to the banking…