Related papers: Stability of the Epstein-Zin problem
We study a dynamic portfolio optimization problem related to convergence trading, which is an investment strategy that exploits temporary mispricing by simultaneously buying relatively underpriced assets and selling short relatively…
We study stochastic optimization problems with chance and risk constraints, where in the latter, risk is quantified in terms of the conditional value-at-risk (CVaR). We consider the distributionally robust versions of these problems, where…
Inspired by Strotz's consistent planning strategy, we formulate the infinite horizon mean-variance stopping problem as a subgame perfect Nash equilibrium in order to determine time consistent strategies with no regret. Equilibria among…
Recently, the notion of cryptocurrencies has come to the fore of public interest. These assets that exist only in electronic form, with no underlying value, offer the owners some protection from tracking or seizure by government or…
While many questions in robust finance can be posed in the martingale optimal transport framework or its weak extension, others like the subreplication price of VIX futures, the robust pricing of American options or the construction of…
We say that an algorithm is stable if small changes in the input result in small changes in the output. This kind of algorithm stability is particularly relevant when analyzing and visualizing time-varying data. Stability in general plays…
We develop a theoretical trading conditioning model subject to price volatility and return information in terms of market psychological behavior, based on analytical transaction volume-price probability wave distributions in which we use…
In this paper, we analyze the properties of invertible neural networks, which provide a way of solving inverse problems. Our main focus lies on investigating and controlling the Lipschitz constants of the corresponding inverse networks.…
We investigate constrained optimal control problems for linear stochastic dynamical systems evolving in discrete time. We consider minimization of an expected value cost over a finite horizon. Hard constraints are introduced first, and then…
The stability of money value is an important requisite for a functioning economy, yet it critically depends on the actions of participants in the market themselves. Here we model the value of money as a dynamical variable that results from…
In the frictionless discrete time financial market of Bouchard et al.(2015) we consider a trader who, due to regulatory requirements or internal risk management reasons, is required to hedge a claim $\xi$ in a risk-conservative way relative…
We consider fluctuations in a perfect irrotational fluid coupled to gravity in an Einstein static universe background. We show that the homogeneous linear perturbations of the scalar and metric fluctuations in the Einstein static universe…
We explore a stochastic model that enables capturing external influences in two specific ways. The model allows for the expression of uncertainty in the parametrisation of the stochastic dynamics and incorporates patterns to account for…
We study an intertemporal consumption and portfolio choice problem under Knightian uncertainty in which agent's preferences exhibit local intertemporal substitution. We also allow for market frictions in the sense that the pricing…
In this paper, we address the problem of robust stability for uncertain sampled-data systems controlled by a discrete-time disturbance observer (DT-DOB). Unlike most of previous works that rely on the small-gain theorem, our approach is to…
Recently, there has been a growing interest in developing inventory control policies which are robust to model misspecification. One approach is to posit that nature selects a worst-case distribution for any stochastic primitives from some…
This paper considers the portfolio management problem of optimal investment, consumption and life insurance. We are concerned with time inconsistency of optimal strategies. Natural assumptions, like different discount rates for consumption…
We consider the stability of the two branches of non-extremal enhancon solutions. We argue that one would expect a transition between the two branches at some value of the non-extremality, which should manifest itself in some instability.…
The purpose of this paper is to analyze the existence of static stable Einstein universe using inhomogeneous linear perturbations in the context of $f(R,T)$ gravity ($R$ and $T$ denote the scalar curvature and trace of the stress-energy…
We consider the problem of robustly maximizing the growth rate of investor wealth in the presence of model uncertainty. Possible models are all those under which the assets' region $E$ and instantaneous covariation $c$ are known, and where…