Related papers: High order universal portfolios
Asynchronous trading in high-frequency financial markets introduces significant biases into econometric analysis, distorting risk estimates and leading to suboptimal portfolio decisions. Existing synchronization methods, such as the…
In the present study we consider an example of a boundary value problem for a simple second order ordinary differential equation, which may exhibit a boundary layer phenomenon. We show that usual central finite differences, which are second…
Recoverable robust optimization is a multi-stage approach, where it is possible to adjust a first-stage solution after the uncertain cost scenario is revealed. We analyze this approach for a class of selection problems. The aim is to choose…
Beta-sorted portfolios -- portfolios comprised of assets with similar covariation to selected risk factors -- are a popular tool in empirical finance to analyze models of (conditional) expected returns. Despite their widespread use, little…
We introduce diversified risk parity embedded with various reward-risk measures and more generic allocation rules for portfolio construction. We empirically test the proposed reward-risk parity strategies and compare their performance with…
Online platforms increasingly rely on sequential decision-making algorithms to allocate resources, match users, or control exposure, while facing growing pressure to ensure fairness over time. We study a general online decision-making…
We propose a new class of high-order time-marching schemes with dissipation user-control and unconditional stability for parabolic equations. High-order time integrators can deliver the optimal performance of highly-accurate and robust…
We study the problem of optimal long term portfolio selection with a view to beat a benchmark. Two kinds of objectives are considered. One concerns the probability of outperforming the benchmark and seeks either to minimise the decay rate…
Merton portfolio management problem is studied in this paper within a stochastic volatility, non constant time discount rate, and power utility framework. This problem is time inconsistent and the way out of this predicament is to consider…
In recent years, there has been a surge of interest in higher-order topological phases (HOTPs) across various disciplines within the field of physics. These unique phases are characterized by their ability to harbor topological protected…
Iterative algorithms aimed at solving some problems are discussed. For certain problems, such as finding a common point in the intersection of a finite number of convex sets, there often exist iterative algorithms that impose very little…
A new class UF of problems is introduced, strictly included in the class NP, which arises in the analysis of the time verifying the intermediate results of computations. The implications of the introduction of this class are considered.…
We introduce new mathematical methods to study the optimal portfolio size of investment portfolios over time, considering investors with varying skill levels. First, we explore the benefit of portfolio diversification on an annual basis for…
High-dimensional portfolio optimization faces significant computational challenges under complex constraints, with traditional optimization methods struggling to balance convergence speed and global exploration capability. To address this,…
Efforts to achieve better accuracy in numerical relativity have so far focused either on implementing second order accurate adaptive mesh refinement or on defining higher order accurate differences and update schemes. Here, we argue for the…
There is substantial empirical evidence showing the fundamental portfolio outperforming the market portfolio. Here a theoretical foundation is laid that supports this empirical research. Assuming stock prices revert around fundamental…
Substitute valuations (in some contexts called gross substitute valuations) are prominent in combinatorial auction theory. An algorithm is given in this paper for generating a substitute valuation through Monte Carlo simulation. In…
A new definition of events of game-theoretic probability zero in continuous time is proposed and used to prove results suggesting that trading in financial markets results in the emergence of properties usually associated with randomness.…
The co-evolution of structure and dynamics, known as adaptivity, is a fundamental property in various systems and drives diverse emergent behaviors. However, the adaptivity in previous works is primarily stemmed from pairwise situations,…
Continuously extending combinatorial optimization objectives is a powerful technique commonly applied to the optimization of set functions. However, few such methods exist for extending functions on permutations, despite the fact that many…