Related papers: Investment AUM Fee Costs: Evaluating a Simple Form…
Consider oriented graph nodes requiring periodic visits by a service agent. The agent moves among the nodes and receives a payoff for each completed service task, depending on the time elapsed since the previous visit to a node. We consider…
In financial investing, universal portfolios are a means of constructing portfolios which guarantee a certain level of performance relative to a baseline, while making no statistical assumptions about the future market data. They fall under…
Analysis and estimation of consumer expenditure and budget shares are important for understanding quantitatively the expenditure based behaviour of the people of a country or region. The costs attached with performing consumer expenditure…
Serverless computing has recently experienced significant adoption by several applications, especially Internet of Things (IoT) applications. In serverless computing, rather than deploying and managing dedicated virtual machines, users are…
This paper studies arbitrage pricing theory in financial markets with implicit transaction costs. We extend the existing theory to include the more realistic possibility that the price at which the investors trade is dependent on the traded…
Blockchain-based cryptocurrencies prioritize transactions based on their fees, creating a unique kind of fee market. Empirically, this market has failed to yield stable equilibria with predictable prices for desired levels of service. We…
Recent progress in portfolio choice has made a wide class of problems involving transaction costs tractable. We review the basic approach to these problems, and outline some directions for future research.
Prediction APIs offered for a fee are a fast-growing industry and an important part of machine learning as a service. While many such services are available, the heterogeneity in their price and performance makes it challenging for users to…
How do you scale a machine learning product at a startup? In particular, how do you serve a greater volume, velocity, and variety of queries cost-effectively? We break down costs into variable costs-the cost of serving the model and…
This paper studies a finite-horizon portfolio selection problem with non-concave terminal utility and proportional transaction costs, in which the commonly used concavification principle for terminal value is no longer applicable. We…
We give a risk-minimizing formula for government investments taking into account the zero intelligence law for financial markets.
We consider computation of market values of bonus payments in multi-state with-profit life insurance. The bonus scheme consists of additional benefits bought according to a dividend strategy that depends on the past realization of financial…
State-of-the-art question answering (QA) relies upon large amounts of training data for which labeling is time consuming and thus expensive. For this reason, customizing QA systems is challenging. As a remedy, we propose a novel framework…
We study the pricing of credit derivatives with asymmetric information. The managers have complete information on the value process of the firm and on the default threshold, while the investors on the market have only partial observations,…
This paper examines the validity of the Capital Asset Pricing Model (CAPM) on the Ugandan stock market using monthly stock returns from 10 of the 11 companies listed on the Uganda Stock Exchange (USE), for the period 1st March 2007 to 10th…
This paper studies the topic of cost-efficiency in incomplete markets. A payoff is called cost-efficient if it achieves a given probability distribution at some given investment horizon with a minimum initial budget. Extensive literature…
This paper analyzes the equilibrium of insurance market in a dynamic setting, focusing on the interaction between insurers' underwriting and investment strategies. Three possible equilibrium outcomes are identified: a positive insurance…
Financial institutions face a trade-off between predictive accuracy and interpretability when deploying machine learning models for credit risk. Monotonicity constraints align model behavior with domain knowledge, but their performance cost…
In this paper, we consider the problem of hedging Asian options in financial markets with transaction costs. For this, we use the asymptotic hedging approach. The main task of asymptotic hedging in financial markets with transaction costs…
We take a look the changes of different asset prices over variable periods, using both traditional and spectral methods, and discover universality phenomena which hold (in some cases) across asset classes.