Related papers: Trading multiple mean reversion
Statistical arbitrage is a prevalent trading strategy which takes advantage of mean reverse property of spread of paired stocks. Studies on this strategy often rely heavily on model assumption. In this study, we introduce an innovative…
Unfair stock trading strategies have been shown to be one of the most negative perceptions that customers can have concerning trading and may result in long-term losses for a company. Investment banks usually place trading orders for…
We introduce the concept of mean field games for agents using Forward utilities of CARA type to study a family of portfolio management problems under relative performance concerns. Under asset specialization of the fund managers, we solve…
Control of multi-agent systems via game theory is investigated. Assume a system level object is given, the utility functions for individual agents are designed to convert a multi-agent system into a potential game. First, for fixed…
Trading styles can be classified into either trend-following or mean-reverting. If the net trading style is trend-following the traded asset is more likely to move in the same direction it moved previously (the opposite is true if the net…
We propose a simple market model where agents trade different types of products with each other by using money, relying only on local information. Value fluctuations of single products, combined with the condition of maximum profit in…
Deep or reinforcement learning (RL) approaches have been adapted as reactive agents to quickly learn and respond with new investment strategies for portfolio management under the highly turbulent financial market environments in recent…
We study Pareto-optimal risk sharing in economies with heterogeneous attitudes toward risk, where agents' preferences are modeled by distortion risk measures. Building on comonotonic and counter-monotonic improvement results, we show that…
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…
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…
We study optimal investment problem for a diffusion market consisting of a finite number of risky assets (for example, bonds, stocks and options). Risky assets evolution is described by Ito's equation, and the number of risky assets can be…
We consider the economic problem of optimal consumption and investment with power utility. We study the optimal strategy as the relative risk aversion tends to infinity or to one. The convergence of the optimal consumption is obtained for…
This paper studies the portfolio optimization problem when the investor's utility is general and the return and volatility of the risky asset are fast mean-reverting, which are important to capture the fast-time scale in the modeling of…
We consider the multi-period portfolio optimization problem with a single asset that can be held long or short. Due to the presence of transaction costs, maximizing the immediate reward at each period may prove detrimental, as frequent…
We study mean-risk optimal portfolio problems where risk is measured by Recovery Average Value at Risk, a prominent example in the class of recovery risk measures. We establish existence results in the situation where the joint distribution…
Value adjustment of uncollateralized trades is determined within a risk-neutral pricing framework. When hedging such trades, investors cannot freely trade protection on their own name, thus facing an incomplete market. This fact is…
We consider the general problem of a set of agents trading a portfolio of assets in the presence of transient price impact and additional quadratic transaction costs and we study, with analytical and numerical methods, the resulting Nash…
We consider the problem of optimizing a portfolio of financial assets, where the number of assets can be much larger than the number of observations. The optimal portfolio weights require estimating the inverse covariance matrix of excess…
We study the problem of selling an asset near its ultimate maximum in the minimax setting. The regret-based notion of a perfect stopping time is introduced. A perfect stopping time is uniquely characterized by its optimality properties and…
Portfolio management is a fundamental problem in finance. It involves periodic reallocations of assets to maximize the expected returns within an appropriate level of risk exposure. Deep reinforcement learning (RL) has been considered a…