Related papers: The Volatility of Returns and Variable Strategies

This paper derives the expressions of correlations between prices of two assets, returns of two assets, and price-return correlations of two assets that depend on statistical moments and correlations of the current values, past values, and…

Gambles are random variables that model possible changes in monetary wealth. Classic decision theory transforms money into utility through a utility function and defines the value of a gamble as the expectation value of utility changes.…

For a game with positive profit, the optimal proportion of investment required to continue investing without borrowing is uniquely determined by an integral equation for each price. For a game with parallel translated profit, the ratio of…

In this note we discuss a theory of combinatorial games that involve transmitting the moves through a noisy channel that can introduce errors during the transmission. Players are aware of this interference and incorporate this variable into…

In this report, we inspect the application of an evolutionary approach to the game of Rack'O, which is a card game revolving around the notion of decision making. We first apply the evolutionary technique for obtaining a set of rules over…

This paper analyzes the hypothesis that returns play a risk-compensating role in the market for corporate revolving lines of credit. Specifically, we test whether borrower risk and the expected return on these debt instruments are…

In this paper we solve the three-player-game question. A three-player-game consists of a series of rounds. There are altogether three players. Two players participate in each round, at the end of the round the loser quits and the third…

We consider a variation of cop vs.\ robber on graph in which the robber is not restricted by the graph edges; instead, he picks a time-independent probability distribution on $V(G)$ and moves according to this fixed distribution. The cop…

Diversification return is an incremental return earned by a rebalanced portfolio of assets. The diversification return of a rebalanced portfolio is often incorrectly ascribed to a reduction in variance. We argue that the underlying source…

Factor models have become a common and valued tool for understanding the risks associated with an investing strategy. In this report we describe Exabel's factor model, we quantify the fraction of the variability of the returns explained by…

The future value of a security is described as a random variable. Distribution of this random variable is the formal image of risk uncertainty. On the other side, any present value is defined as a value equivalent to the given future value.…

We study a market model in which the volatility of the stock may jump at a random time from a fixed value to another fixed value. This model was already described in the literature. We present a new approach to the problem, based on partial…

The game in which acts of participants don't have an adequate description in terms of Boolean logic and classical theory of probabilities is considered. The model of the game interaction is constructed on the basis of a non-distributive…

We look at the Florida Lottery records of winners of prizes worth $600 or more. Some individuals claimed large numbers of prizes. Were they lucky, or up to something? We distinguish the "plausibly lucky" from the "implausibly lucky" by…

We show that assuming that the returns are independent when conditioned on the value of their variance (volatility), which itself varies in time randomly, then the distribution of returns is well described by the statistics of the sum of…

We study approachability theory in the presence of constraints. Given a repeated game with vector payoffs, we characterize the pairs of sets (A,D) in the payoff space such that Player 1 can guarantee that the long-run average payoff…

Simple stochastic games are turn-based 2.5-player games with a reachability objective. The basic question asks whether one player can ensure reaching a given target with at least a given probability. A natural extension is games with a…

This paper studies the game of guessing riffle-shuffled cards with complete feedback. A deck of $n$ cards labelled 1 to $n$ is riffle-shuffled once and placed on a table. A player tries to guess the cards from top and is given complete…

This paper conducts an extensive analysis of Bitcoin return series, with a primary focus on three volatility metrics: historical volatility (calculated as the sample standard deviation), forecasted volatility (derived from GARCH-type…

We study the problem of resilient strategies in the presence of uncertainty. Resilient strategies enable an agent to make decisions that are robust against disturbances. In particular, we are interested in those disturbances that are able…