Related papers: Portfolio Growth Rate and Ergodic Capacity of Fadi…
This paper investigates the investment problem of constructing an optimal no-short sequential portfolio strategy in a market with a latent dependence structure between asset prices and partly unobservable side information, which is often…
A new stochastic order between two fading distributions is introduced. A fading channel dominates another in the ergodic capacity ordering sense, if the Shannon transform of the first is greater than that of the second at all values of…
We derive new upper and lower bounds on the fading number of multiple-input single-output (MISO) fading channels of general (not necessarily Gaussian) regular law with spatial and temporal memory. The fading number is the second term, after…
This paper studies a continuous-time optimal portfolio selection problem in the complete market for a behavioral investor whose preference is of the prospect type with probability distortion. The investor concerns about the terminal…
Discrete-time Rayleigh fading single-input single-output (SISO) and multiple-input multiple-output (MIMO) channels are considered, with no channel state information at the transmitter or the receiver. The fading is assumed to be stationary…
This paper studies the capacity scaling of non-coherent Single-Input Multiple-Output (SIMO) independent and identically distributed (i.i.d.) Rayleigh block fading channels versus bandwidth ($B$), number of receive antennas ($N$) and…
We study the problem of optimal long term portfolio selection with a view to beat a benchmark. Two kinds of objectives are considered. One concerns the probability of outperforming the benchmark and seeks either to minimise the decay rate…
In this letter, we study the ergodic capacity of a maximum ratio combining (MRC) Rician fading channel with full channel state information (CSI) at the transmitter and at the receiver. We focus on the low Signal-to-Noise Ratio (SNR) regime…
This work studies the capacity of multipath fading channels. A noncoherent channel model is considered, where neither the transmitter nor the receiver is cognizant of the realization of the path gains, but both are cognizant of their…
We establish an upper bound on the noncoherent capacity pre-log of temporally correlated block-fading single-input multiple-output (SIMO) channels. The upper bound matches the lower bound recently reported in Riegler et al. (2011), and,…
We address a portfolio selection problem that combines active (outperformance) and passive (tracking) objectives using techniques from convex analysis. We assume a general semimartingale market model where the assets' growth rate processes…
For ergodic fading, a lattice coding and decoding strategy is proposed and its performance is analyzed for the single-input single-output (SISO) and multiple-input multiple-output (MIMO) point-to-point channel as well as the multiple-access…
We investigate the ergodic problem of growth-rate maximization under a class of risk constraints in the context of incomplete, It\^{o}-process models of financial markets with random ergodic coefficients. Including {\em value-at-risk}…
As several previous works have pointed out, the evolution of the wireless channels in multiple input multiple output systems can be advantageously modeled as an autoregressive process. Therefore, estimating the coefficients, and, in…
Drifts of asset returns are notoriously difficult to model accurately and, yet, trading strategies obtained from portfolio optimization are very sensitive to them. To mitigate this well-known phenomenon we study robust growth-optimization…
The aim of this paper is to investigate the impact of rebalancing frequency and transaction costs on the log-optimal portfolio, which is a portfolio that maximizes the expected logarithmic growth rate of an investor's wealth. We prove that…
A drawdown constraint forces the current wealth to remain above a given function of its maximum to date. We consider the portfolio optimisation problem of maximising the long-term growth rate of the expected utility of wealth subject to a…
We establish a lower bound on the noncoherent capacity pre-log of a temporally correlated Rayleigh block-fading single-input multiple-output (SIMO) channel. Surprisingly, when the covariance matrix of the channel satisfies a certain…
A continuous-time financial portfolio selection model with expected utility maximization typically boils down to solving a (static) convex stochastic optimization problem in terms of the terminal wealth, with a budget constraint. In…
We consider a structural credit model for a large portfolio of credit risky assets where the correlation is due to a market factor. By considering the large portfolio limit of this system we show the existence of a density process for the…