Related papers: Linear fractional relative risk aversion

We study an optimization problem for a portfolio with a risk-free, a liquid, and an illiquid risky asset. The illiquid risky asset is sold in an exogenous random moment with a prescribed liquidation time distribution. The investor prefers a…

This article is a review of functional $f(R)$ approximations in the asymptotic safety approach to quantum gravity. It mostly focusses on a formulation that uses a non-adaptive cutoff, resulting in a second order differential equation. This…

We study expected utility maximization problem with constant relative risk aversion utility function in a complete market under the reinforcement learning framework. To induce exploration, we introduce the Tsallis entropy regularizer, which…

We consider nonparametric regression with functional covariates, that is, they are elements of an infinite-dimensional Hilbert space. A locally polynomial estimator is constructed, where an orthonormal basis and various tuning parameters…

In this paper we consider the minimization of a novel class of fractional linear growth functionals involving the Riesz fractional gradient. These functionals lack the coercivity properties in the fractional Sobolev spaces needed to apply…

A high order expansion of the renewal function is provided under the assumption that the inter-renewal time distribution is light tailed with finite moment generating function g on a neighborhood of 0. This expansion relies on complex…

For $\alpha_0 = \left[a_0, a_1, \ldots\right]$ an infinite continued fraction and $\sigma$ a linear fractional transformation, we study the continued fraction expansion of $\sigma(\alpha_0)$ and its convergents. We provide the continued…

Estimating the region of attraction (ROA) of general nonlinear autonomous systems remains a challenging problem and requires a case-by-case analysis. Leveraging the universal approximation property of neural networks, in this paper, we…

In this paper, we construct a family of generalized $L$-functions, one for each point $z$ in the upper half-plane. We prove that as $z$ approaches $i\infty$, these generalized $L$-functions converge to an $L$-function which can be written…

For certain smooth unimodal families with negative Schwarzian derivative, we construct a set of Collet-Eckmann and subexponentially recurrent parameters $\Omega$, whose complement set has sufficiently fast decaying density, on which…

We obtain Wiman-Valiron type inequalities for random entire functions and for random analytic functions on the unit disk that improve a classical result of Erd\H{o}s and R\'enyi and recent results of Kuryliak and Skaskiv. Our results are…

We give several unequivalent notions of convergency of meromorphic functions and more generally meromorphic mappings (strong, weak, $\Gamma $-convergency and some others). Relations between them are investigated. A version of Rouche theorem…

The classic rank-revealing QR factorization factorizes a matrix $A$ as $AP=QR$ where $P$ permutes the columns of $A$, $Q$ is an orthogonal matrix, and $R$ is upper triangular with non-increasing diagonal entries. This is called…

Using elementary arguments, we show how to derive $\mathbf{L}_p$-error bounds for the approximation of frictionless wealth process in markets with proportional transaction costs. For utilities with bounded risk aversion, these estimates…

In this paper, we introduce a new extension of the generalized linear failure rate distributions. It includes some well-known lifetime distributions such as extension of generalized exponential and generalized linear failure rate…

Robust Fine-Tuning (RFT) is a low-cost strategy to obtain adversarial robustness in downstream applications, without requiring a lot of computational resources and collecting significant amounts of data. This paper uncovers an issue with…

Low-rank approximations are popular methods to reduce the high computational cost of algorithms involving large-scale kernel matrices. The success of low-rank methods hinges on the matrix rank of the kernel matrix, and in practice, these…

We introduce a novel class of credit risk models in which the drift of the survival process of a firm is a linear function of the factors. The prices of defaultable bonds and credit default swaps (CDS) are linear-rational in the factors.…

We introduce functions for relative maximization in a general context: the beta and alpha applications. After a systematic study concerning regularities, we investigate how to approximate certain values of these functions using periodic…

A connection between fractional calculus and statistical distribution theory has been established by the authors recently. Some extensions of the results to matrix-variate functions were also considered. In the present article, more results…