Related papers: Rebalance your portfolio without selling

We consider optimal consumption and portfolio choice in the presence of Knightian uncertainty in continuous-time. We embed the problem into the new framework of stochastic calculus for such settings, dealing in particular with the issue of…

We provide new exact Taylor's series with fixed coefficients and without the remainder. We demonstrate the usefulness of this contribution by using it to obtain very simple solutions to (non-linear) PDEs. We also apply the method to the…

Recent developments in deep learning techniques have motivated intensive research in machine learning-aided stock trading strategies. However, since the financial market has a highly non-stationary nature hindering the application of…

Aiming to describe the wealth distribution evolution, several models consider an ensemble of interacting economic agents that exchange wealth in binary fashion. Intriguingly, models that consider an unbiased market, that gives to each agent…

This article deals with the problem of optimal allocation of capital to corporate bonds in fixed income portfolios when there is the possibility of correlated defaults. Under fairly general assumptions for the distribution of the total net…

Computing market equilibria is an important practical problem for market design, for example in fair division of items. However, computing equilibria requires large amounts of information (typically the valuation of every buyer for every…

We consider the problem of optimization of contributions of a financial planner such as a working individual towards a financial goal such as retirement. The objective of the planner is to find an optimal and feasible schedule of periodic…

A nonlinear algebraic equation system of two variables is numerically solved, which is derived from a nonlinear algebraic equation system of four variables, that corresponds to a mathematical model related to investment under conditions of…

We propose a novel portfolio trading system, which contains a feature preprocessing module and a trading module. The feature preprocessing module consists of various data processing operations, while in the trading part, we integrate the…

The paper provides a mathematical model and a tool for the focused investing strategy as advocated by Buffett, Munger, and others from this investment community. The approach presented here assumes that the investor's role is to think about…

This paper studies the equilibrium price of an asset that is traded in continuous time between N agents who have heterogeneous beliefs about the state process underlying the asset's payoff. We propose a tractable model where agents maximize…

This article has one single purpose: introduce a new and simple, yet highly insightful approach to capture, fully and quantitatively, the dynamics of the circular flow of income in economies. The proposed approach relies mostly on basic…

In this article, we provide a flexible framework for optimal trading in an asset listed on different venues. We take into account the dependencies between the imbalance and spread of the venues, and allow for partial execution of limit…

Sparse index tracking is a prominent passive portfolio management strategy that constructs a sparse portfolio to track a financial index. A sparse portfolio is preferable to a full portfolio in terms of reducing transaction costs and…

Asset allocation using reinforcement learning has advantages such as flexibility in goal setting and utilization of various information. However, existing asset allocation methods do not consider the following viewpoints in solving the…

We introduce a generic solver for dynamic portfolio allocation problems when the market exhibits return predictability, price impact and partial observability. We assume that the price modeling can be encoded into a linear state-space and…

In this short note the theory for multivariate asset allocation with elliptically symmetric distributions of returns, as developed in the author's prior work, is specialized to the case of returns drawn from a multivariate Laplace…

This work discusses the benefits of constrained portfolio turnover strategies for small to medium-sized portfolios. We propose a dynamic multi-period model that aims to minimize transaction costs and maximize terminal wealth levels whilst…

This paper proposes a Deep Reinforcement Learning algorithm for financial portfolio trading based on Deep Q-learning. The algorithm is capable of trading high-dimensional portfolios from cross-sectional datasets of any size which may…

We consider a monopolist seller with $n$ heterogeneous items, facing a single buyer. The buyer has a value for each item drawn independently according to (non-identical) distributions, and her value for a set of items is additive. The…