Related papers: Optimal Asset Allocation with Asymptotic Criteria
In this paper, we study the optimal investment problem considering the herd behaviour between two agents, including one leading expert and one following agent whose decisions are influenced by those of the leading expert. In the objective…
The most commonly accepted model for investors' preferences is expected utility theory. More recently, other theories have emerged and pose new challenges to mathematics. The present paper treats preferences of cumulative prospect theory…
We propose a pairs trading model that incorporates a time-varying volatility of the Constant Elasticity of Variance type. Our approach is based on stochastic control techniques; given a fixed time horizon and a portfolio of two…
This paper investigates the application of Simulated Bifurcation algorithms to approximate optimal asset allocations. It will provide the reader with an explanation of the physical principles underlying the method and a Python…
We investigate how and when to diversify capital over assets, i.e., the portfolio selection problem, from a signal processing perspective. To this end, we first construct portfolios that achieve the optimal expected growth in i.i.d.…
We consider the estimation of approximate factor models for time series data, where strong serial and cross-sectional correlations amongst the idiosyncratic component are present. This setting comes up naturally in many applications, but…
We consider an investor who is dynamically informed about the future evolution of one of the independent Brownian motions driving a stock's price fluctuations. With linear temporary price impact the resulting optimal investment problem with…
This paper investigates the optimal investment problem in a market with two types of illiquidity: transaction costs and search frictions. Extending the framework established by arXiv:2101.09936, we analyze a power-utility maximization…
In this article, we study optimal investment and consumption in an incomplete stochastic factor model for a power utility investor on the infinite horizon. When the state space of the stochastic factor is finite, we give a complete…
The dual risk model is a popular model in finance and insurance, which is often used to model the wealth process of a venture capital or high tech company. Optimal dividends have been extensively studied in the literature for a dual risk…
We establish formulas for the constant factor in several asymptotic estimates related to the distribution of integer and polynomial divisors. The formulas are then used to approximate these factors numerically.
Some problems in the theory and applications of stochastic processes can be reduced to solving integral equations. While explicit solutions for these equations are often elusive, valuable insights can be gained through their asymptotic…
This paper is concerned with an optimal investment problem under correlated noises in the financial market, and the expected utility functional is hyperbolic absolute risk aversion (HARA) with the exponent $\gamma\neq0$. The problem can be…
The valuation process that economic agents undergo for investments with uncertain payoff typically depends on their statistical views on possible future outcomes, their attitudes toward risk, and, of course, the payoff structure itself.…
We derive asymptotic formulae for the coefficients of bivariate generating functions with algebraic and logarithmic factors. Logarithms appear when encoding cycles of combinatorial objects, and also implicitly when objects can be broken…
Turnpike theorems state that if an investor's utility is asymptotically equivalent to a power utility, then the optimal investment strategy converges to the CRRA strategy as the investment horizon tends to infinity. This paper aims to…
We extend a general result showing that the asymptotic behavior of high moments, factorial or standard, of random variables, determines the asymptotically normality, from the one dimensional to the multidimensional setting. This approach…
We consider optimal investment problems for a diffusion market model with non-observable random drifts that evolve as an Ito's process. Admissible strategies do not use direct observations of the market parameters, but rather use historical…
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…
We provide easily verifiable conditions for the well-posedness of the optimal investment problem for a behavioral investor in an incomplete discrete-time multiperiod financial market model, for the first time in the literature. Under two…