Related papers: Investing Is Compression
How can graph theory be applied to investing in the stock market? The answer may help investors realize the true risks of their investments, help prevent recessions like that of 2008, and increase financial literacy amongst students. Using…
This paper shows how to evolve numerically the maximum entropy probability distributions for a given set of constraints, which is a variational calculus problem. An evolutionary algorithm can obtain approximations to some well-known…
In a collectivised pension fund, investors agree that any money remaining in the fund when they die can be shared among the survivors. We compute analytically the optimal investment-consumption strategy for a fund of $n$ identical investors…
In our time cybersecurity has grown to be a topic of massive proportion at the national and enterprise levels. Our thesis is that the economic perspective and investment decision-making are vital factors in determining the outcome of the…
Assume that a treasure is placed in one of $M$ boxes according to a known distribution and that $k$ searchers are searching for it in parallel during $T$ rounds. We study the question of how to incentivize selfish players so that the…
The introduction of new services, such as Mobile Edge Computing (MEC), requires a massive investment that cannot be assumed by a single stakeholder, for instance the Infrastructure Provider (InP). Service Providers (SPs) however also have…
A compression function is a map that slims down an observational set into a subset of reduced size, while preserving its informational content. In multiple applications, the condition that one new observation makes the compressed set change…
The aim of this paper is to solve an optimal investment, consumption and life insurance problem when the investor is restricted to capital guarantee. We consider an incomplete market described by a jump-diffusion model with stochastic…
In his classical article[3](1953), J.Kiefer introduced the Fibonacci search as a direct optimal method. The optimality was proved under the restriction: the total number of tests is given in advance and fixed. To avoid this restriction,…
One of the most famous conjectures in combinatorial optimization is the four-thirds conjecture, which states that the integrality gap of the subtour LP relaxation of the TSP is equal to $\frac43$. For 40 years, the best known upper bound…
The main objective of this paper is to develop a martingale-type solution to optimal consumption--investment choice problems ([Merton, 1969] and [Merton, 1971]) under time-varying incomplete preferences driven by externalities such as…
This work proposes a unified framework for portfolio allocation, covering both asset selection and optimization, based on a multiple-hypothesis predict-then-optimize approach. The portfolio is modeled as a structured ensemble, where each…
Studies on generalization performance of machine learning algorithms under the scope of information theory suggest that compressed representations can guarantee good generalization, inspiring many compression-based regularization methods.…
This paper is concerned with an optimal reinsurance and investment problem for an insurance firm under the criterion of mean-variance. The driving Brownian motion and the rate in return of the risky asset price dynamic equation cannot be…
We study the problem of active portfolio management where an investor aims to outperform a benchmark strategy's risk profile while not deviating too far from it. Specifically, an investor considers alternative strategies whose terminal…
We study the problem of portfolio insurance from the point of view of a fund manager, who guarantees to the investor that the portfolio value at maturity will be above a fixed threshold. If, at maturity, the portfolio value is below the…
Risk control and optimal diversification constitute a major focus in the finance and insurance industries as well as, more or less consciously, in our everyday life. We present a discussion of the characterization of risks and of the…
This paper focuses on the application of quantitative portfolio management by using integer programming and clustering techniques. Investors seek to gain the highest profits and lowest risk in capital markets. A data-oriented analysis of US…
We study the gain of an insider having private information which concerns the default risk of a counterparty. More precisely, the default time \tau is modelled as the first time a stochastic process hits a random barrier L. The insider…
This paper devises a way to apply the Bank and El Karoui Representation Theorem to find the investment boundary of a rich stochastic, continuous time capacity expansion problem with irreversible investment on the finite time interval $[0,…