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This paper introduces and examines numerical approximation schemes for computing risk budgeting portfolios associated to positive homogeneous and sub-additive risk measures. We employ Mirror Descent algorithms to determine the optimal risk…
We establish a Nash equilibrium in a market with $ N $ agents with the performance criteria of relative wealth level when the market return is unobservable. Each investor has a random prior belief on the return rate of the risky asset. The…
This paper studies a robust portfolio optimization problem under the multi-factor volatility model introduced by Christoffersen et al. (2009). The optimal strategy is derived analytically under the worst-case scenario with or without…
The spectacular success of Bitcoin and Blockchain Technology in recent years has provided enough evidence that a widespread adoption of a common cryptocurrency system is not merely a distant vision, but a scenario that might come true in…
The classical optimal investment and consumption problem with infinite horizon is studied in the presence of transaction costs. Both proportional and fixed costs as well as general utility functions are considered. Weak dynamic programming…
Gold and bitcoin are not new to us, but with limited cash and time, given only the past stream of the daily price of gold and bitcoin, it is a kind of new problem for us to develop a certain model and determine the best strategy to get the…
We analyze bribing attacks in Proof-of-Stake distributed ledgers from a game theoretic perspective. In bribing attacks, an adversary offers participants a reward in exchange for instructing them how to behave, with the goal of attacking the…
Decision making under uncertain environments in the maximization of expected reward while minimizing its risk is one of the ubiquitous problems in many subjects. Here, we introduce a novel problem setting in stochastic bandit optimization…
In the seminal paper on optimal execution of portfolio transactions, Almgren and Chriss (2001) define the optimal trading strategy to liquidate a fixed volume of a single security under price uncertainty. Yet there exist situations, such as…
This paper focuses on the application and optimization of LSTM model in financial risk prediction. The study starts with an overview of the architecture and algorithm foundation of LSTM, and then details the model training process and…
We propose a data-driven Neural Network (NN) optimization framework to determine the optimal multi-period dynamic asset allocation strategy for outperforming a general stochastic target. We formulate the problem as an optimal stochastic…
A large portfolio of independent returns is optimized under the variance risk measure with a ban on short positions. The no-short selling constraint acts as an asymmetric $\ell_1$ regularizer, setting some of the portfolio weights to zero…
We consider the problem of optimizing a portfolio of financial assets, where the number of assets can be much larger than the number of observations. The optimal portfolio weights require estimating the inverse covariance matrix of excess…
Despite being described as a medium of exchange, cryptocurrencies do not have the typical attributes of a medium of exchange. Consequently, cryptocurrencies are more appropriately described as crypto assets. A common investment attribute…
Centralized monetary policy, leading to persistent inflation, is often inconsistent, untrustworthy, and unpredictable. Algorithmic stablecoins enabled by blockchain technology are promising in solving this problem. Algorithmic stablecoins…
We find the variance-optimal equivalent martingale measure when multivariate assets are modeled by a regime-switching geometric Brownian motion, and the regimes are represented by a homogeneous continuous time Markov chain. Under this new…
This study examines whether the efficiency of cryptocurrency markets (Bitcoin and Ethereum) evolve over time based on Lo's (2004) adaptive market hypothesis (AMH). In particular, we measure the degree of market efficiency using a…
We explore the fundamental limits of heterogeneous distributed detection in an anonymous sensor network with n sensors and a single fusion center. The fusion center collects the single observation from each of the n sensors to detect a…
This paper is the first of a series of short articles that explore the efficiency of major cryptocurrency markets. A number of statistical tests and properties of statistical distributions will be used to assess if cryptocurrency markets…
Cryptocurrencies, especially Bitcoin (BTC), which comprise a new digital asset class, have drawn extraordinary worldwide attention. The characteristics of the cryptocurrency/BTC include a high level of speculation, extreme volatility and…