Related papers: Optimal Asset Allocation with Asymptotic Criteria
This paper considers the portfolio management problem of optimal investment, consumption and life insurance. We are concerned with time inconsistency of optimal strategies. Natural assumptions, like different discount rates for consumption…
This paper is concerned with asymptotic behavior of a variety of functionals of increments of continuous semimartingales. Sampling times are assumed to follow a rather general discretization scheme. If an underlying semimartingale is…
We consider a model of optimal investment and consumption with both habit formation and partial observations in incomplete It\^{o} processes market. The investor chooses his consumption under the addictive habits constraint while only…
We consider optimal consumption and portfolio choice in the presence of Knightian uncertainty in continuous-time. We embed the problem into the new framework of stochastic calculus for such settings, dealing in particular with the issue of…
We find economically and statistically significant gains when using machine learning for portfolio allocation between the market index and risk-free asset. Optimal portfolio rules for time-varying expected returns and volatility are…
The aim of this paper is to investigate the impact of rebalancing frequency and transaction costs on the log-optimal portfolio, which is a portfolio that maximizes the expected logarithmic growth rate of an investor's wealth. We prove that…
This paper discusses the sensitivity of the long-term expected utility of optimal portfolios for an investor with constant relative risk aversion. Under an incomplete market given by a factor model, we consider the utility maximization…
We consider a stochastic model of investment on an asset of a stock market for a prudent investor. She decides to buy permanent goods with a fraction $\a$ of the maximum amount of money owned in her life in order that her economic level…
We discuss the probabilistic properties of the variation based third and fourth moments of financial returns as estimators of the actual moments of the return distributions. The moment variations are defined under non-parametric assumptions…
This paper considers a problem where multiple users make repeated decisions based on their own observed events. The events and decisions at each time step determine the values of a utility function and a collection of penalty functions. The…
We derive asymptotic formulas for the number of integer partitions with given sums of $j$th powers of the parts for $j$ belonging to a finite, non-empty set $J \subset \mathbb N$. The method we use is based on the `principle of maximum…
Signals coming from multivariate higher order conditional moments as well as the information contained in exogenous covariates, can be effectively exploited by rational investors to allocate their wealth among different risky investment…
We analyze a stochastic approximation algorithm for decision-dependent problems, wherein the data distribution used by the algorithm evolves along the iterate sequence. The primary examples of such problems appear in performative prediction…
We consider an investor, whose portfolio consists of a single risky asset and a risk free asset, who wants to maximize his expected utility of the portfolio subject to managing the Value at Risk (VaR) assuming a heavy tailed distribution of…
Given data generated by an observable stochastic process, we study how to construct statistically optimal decisions for general stochastic optimization problems. Our setting encompasses non-standard data structures, including data…
Following the paper by Algoet--Cover (1988), we analyse log-optimal portfolios where return evaluation includes `weights' of different outcomes. The results are twofold: (A) under certain conditions, logarithmic growth rate is a…
We investigate a continuous-time investment-consumption problem with model uncertainty in a general diffusion-based market with random model coefficients. We assume that a power utility investor is ambiguity-averse, with the preference to…
This paper investigates the asymptotic behaviour of solutions to certain infinite systems of coupled recurrence relations. In particular, we obtain a characterisation of those initial values which lead to a convergent solution, and for…
We consider an optimal stochastic impulse control problem over an infinite time horizon motivated by a model of irreversible investment choices with fixed adjustment costs. By employing techniques of viscosity solutions and relying on…
A factor copula model is proposed in which factors are either simulable or estimable from exogenous information. Point estimation and inference are based on a simulated methods of moments (SMM) approach with non-overlapping simulation…