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The pricing and hedging of a general class of options (including American, Bermudan and European options) on multiple assets are studied in the context of currency markets where trading is subject to proportional transaction costs, and…
In a market with one safe and one risky asset, an investor with a long horizon, constant investment opportunities, and constant relative risk aversion trades with small proportional transaction costs. We derive explicit formulas for the…
We investigate fusing several unreliable computational units that perform the same task. We model an unreliable computational outcome as an additive perturbation to its error-free result in terms of its fidelity and cost. We analyze…
Most insurance contracts are inherently linked to financial markets, be it via interest rates, or -- as hybrid products like equity-linked life insurance and variable annuities -- directly to stocks or indices. However, insurance contracts…
The main result of this paper is a collateralized counterparty valuation adjusted pricing equation, which allows to price a deal while taking into account credit and debit valuation adjustments (CVA, DVA) along with margining and funding…
The traditional framework for feature selection treats all features as costing the same amount. However, in reality, a scientist often has considerable discretion regarding which variables to measure, and the decision involves a tradeoff…
We surveyed 113 astronomers and 82 psychologists active in applying for federally funded research on their grant-writing history between January, 2009 and November, 2012. We collected demographic data, effort levels, success rates, and…
With the continuous development of artificial intelligence technology, using machine learning technology to predict market trends may no longer be out of reach. In recent years, artificial intelligence has become a research hotspot in the…
I describe a method for estimating agents' perceived returns to investments that relies on cross-sectional data containing binary choices and prices, where prices may be imperfectly known to agents. This method identifies the scale of…
Academic research projects receive hundreds of billions of dollars of government investment each year. They complement business research projects by focusing on the generation of new foundational knowledge and addressing societal…
This survey is an introduction to asymptotic methods for portfolio-choice problems with small transaction costs. We outline how to derive the corresponding dynamic programming equations and simplify them in the small-cost limit. This allows…
Over the years, a plethora of cost-sensitive methods have been proposed for learning on data when different types of misclassification errors incur different costs. Our contribution is a unifying framework that provides a comprehensive and…
We show how the cost of funding the collateral in a particular set up can be equal to the Bilateral Valuation Adjustment with the "funded" probability of default, leading to the definition of a Funded Bilateral Valuation Adjustment (FBVA).…
In many real-world planning applications, agents might be interested in finding plans whose actions have costs that are as uniform as possible. Such plans provide agents with a sense of stability and predictability, which are key features…
We consider a continuous-time market with proportional transaction costs. Under appropriate assumptions we prove the existence of optimal strategies for investors who maximize their worst-case utility over a class of possible models. We…
Two-page paper on the notion of cost of groups and measured equivalence relations to appear in the "What is?" series in the Notices of the AMS.
Each individual investor is different, with different financial goals, different levels of risk tolerance and different personal preferences. From the point of view of investment management, these characteristics are often defined as…
A new framework for asset price dynamics is introduced in which the concept of noisy information about future cash flows is used to derive the price processes. In this framework an asset is defined by its cash-flow structure. Each cash flow…
Financial bubbles and crashes have repeatedly caused economic turmoil notably but not only during the 2008 financial crisis. However, both in the popular press as well as scientific publications, the meaning of bubble is sometimes…