Related papers: Optimal Turnover, Liquidity, and Autocorrelation
This paper studies the optimal risk-averse timing to sell a risky asset. The investor's risk preference is described by the exponential, power, or log utility. Two stochastic models are considered for the asset price -- the geometric…
For Markov processes over discrete configurations, an asymptotic bound on the uncertainty of stochastic fluxes is derived in terms of the harmonic mean of decay rates with respect to the stationary distribution. This bound is necessarily…
This paper presents a novel approach for steering the state of a stochastic control-affine system to a desired target within a finite time horizon. Our method leverages the time-reversal of diffusion processes to construct the required…
Market timing is an investment technique that tries to continuously switch investment into assets forecast to have better returns. What is the likelihood of having a successful market timing strategy? With an emphasis on modeling…
Omega ratio, defined as the probability-weighted ratio of gains over losses at a given level of expected return, has been advocated as a better performance indicator compared to Sharpe and Sortino ratio as it depends on the full return…
Financial markets tend to switch between various market regimes over time, making stationarity-based models unsustainable. We construct a regime-switching model independent of asset classes for risk-adjusted return predictions based on…
We propose a principled method for projecting an arbitrary square matrix to the non-convex set of asymptotically stable matrices. Leveraging ideas from large deviations theory, we show that this projection is optimal in an…
In this paper, a novel multiagent based state transition optimization algorithm with linear convergence rate named MASTA is constructed. It first generates an initial population randomly and uniformly. Then, it applies the basic state…
Changes in market conditions present challenges for investors as they cause performance to deviate from the ranges predicted by long-term averages of means and covariances. The aim of conditional asset allocation strategies is to overcome…
This paper studies the optimal VIX futures trading problems under a regime-switching model. We consider the VIX as mean reversion dynamics with dependence on the regime that switches among a finite number of states. For the trading…
We determine the variance-optimal hedge when the logarithm of the underlying price follows a process with stationary independent increments in discrete or continuous time. Although the general solution to this problem is known as backward…
We investigate how price variations of a stock are transformed into profits and losses (P&Ls) of a trend following strategy. In the frame of a Gaussian model, we derive the probability distribution of P&Ls and analyze its moments (mean,…
We apply the inverse geometric optimization technique to generate an optimal and robust stimulated Raman exact passage (STIREP) considering the loss of the upper state as a characterization parameter. Control fields temporal shapes that are…
We compare systematically several classes of stochastic volatility models of stock market fluctuations. We show that the long-time return distribution is either Gaussian or develops a power-law tail, while the short-time return distribution…
This article considers the problem of optimally recovering stable linear time-invariant systems observed via linear measurements made on their transfer functions. A common modeling assumption is replaced here by the related assumption that…
In this paper we characterize sharp time-data tradeoffs for optimization problems used for solving linear inverse problems. We focus on the minimization of a least-squares objective subject to a constraint defined as the sub-level set of a…
This paper considers the problem of optimal liquidation of a position in a risky security in a financial market, where price evolution are risky and trades have an impact on price as well as uncertainty in the filling orders. The problem is…
Computed-torque control requires a very precise dynamical model of the robot for compensating the manipulator dynamics. This allows reduction of the controller's feedback gains resulting in disturbance attenuation and other advantages.…
In a financial market model, we consider the variance-optimal semi-static hedging of a given contingent claim, a generalization of the classic variance-optimal hedging. To obtain a tractable formula for the expected squared hedging error…
In this paper, we establish a general stochastic maximum principle for optimal control for systems described by a continuous-time Markov regime-switching stochastic recursive utilities model. The control domain is postulated not to be…