Related papers: A Dynamic Model of Private Asset Allocation
Although both data availability and the demand for accurate forecasts are increasing, collaboration between stakeholders is often constrained by data ownership and competitive interests. In contrast to recent proposals within cooperative…
The debate between active and passive investment strategies has been ongoing for many years and is far from being over. In this paper, we show that the choice of an optimal portfolio management strategy depends on an investment climate,…
We introduce three adaptive time series learning methods, called Dynamic Model Selection (DMS), Adaptive Ensemble (AE), and Dynamic Asset Allocation (DAA). The methods respectively handle model selection, ensembling, and contextual…
We introduce an auto-regressive model which captures the growing nature of realistic markets. In our model agents do not trade with other agents, they interact indirectly only through a market. Change of their wealth depends, linearly on…
In this work, we consider rule-based investment strategies for managing a defined contribution saving scheme under the Dutch pension fund testing model. We found that dynamic rule-based investment can outperform traditional static…
We develop novel estimation procedures with supporting econometric theory for a dynamic latent-factor model with high-dimensional asset characteristics, that is, the number of characteristics is on the order of the sample size. Utilizing…
We quantify model risk of a financial portfolio whereby a multi-period mean-standard-deviation criterion is used as a selection criterion. In this work, model risk is defined as the loss due to uncertainty of the underlying distribution of…
We consider an intermediary's problem of dynamically matching demand and supply of heterogeneous types in a periodic-review fashion. More specifically, there are two disjoint sets of demand and supply types, and a reward associated with…
In order to properly manage risk, practitioners must understand the aggregate risks they are exposed to. Additionally, to properly price policies and calculate bonuses the relative riskiness of individual business units must be well…
Dynamic decisions are pivotal to economic policy making. We show how existing evidence from randomized control trials can be utilized to guide personalized decisions in challenging dynamic environments with budget and capacity constraints.…
We introduce and study a non-equilibrium continuous-time dynamical model of the price of a single asset traded by a population of heterogeneous interacting agents in the presence of uncertainty and regulatory constraints. The model takes…
Strategic asset allocation requires an investor to select stocks from a given basket of assets. The perspective of our investor is to maximize risk-adjusted alpha returns relative to a benchmark index. Historical returns are used to provide…
We consider the problem of repeatedly allocating multiple shareable public goods that have limited availability in an online setting without the use of money. In our setting, agents have additive values, and the value each agent receives…
Institutional investors have been increasing the allocation of the illiquid alternative assets such as private equity funds in their portfolios, yet there exists a very limited literature on cash flow forecasting of illiquid alternative…
Portfolio management issues have been extensively studied in the field of artificial intelligence in recent years, but existing deep learning-based quantitative trading methods have some areas where they could be improved. First of all, the…
Generating asset-specific trading signals based on the financial conditions of the assets is one of the challenging problems in automated trading. Various asset trading rules are proposed experimentally based on different technical analysis…
Accurate volatility forecasts are vital in modern finance for risk management, portfolio allocation, and strategic decision-making. However, existing methods face key limitations. Fully multivariate models, while comprehensive, are…
Factor models characterize the joint behavior of large sets of financial assets through a smaller number of underlying drivers. We develop a network-based framework in which factors emerge naturally from the structure of interactions among…
In this work, we consider the optimal portfolio selection problem under hard constraints on trading volume amounts when the dynamics of the risky asset returns are governed by a discrete-time approximation of the Markov-modulated geometric…
We develop a behavioral asset pricing model in which agents trade in a market with information friction. Profit-maximizing agents switch between trading strategies in response to dynamic market conditions. Due to noisy private information…