Related papers: Computing strategies for achieving acceptability
We provide analytical results for a static portfolio optimization problem with two coherent risk measures. The use of two risk measures is motivated by joint decision-making for portfolio selection where the risk perception of the portfolio…
We consider a continuous-time game-theoretic model of an investment market with short-lived assets and endogenous asset prices. The first goal of the paper is to formulate a stochastic equation which determines wealth processes of investors…
Cryptocurrency markets exhibit pronounced momentum effects and regime-dependent volatility, presenting both opportunities and challenges for systematic trading strategies. We propose AdaptiveTrend, a multi-component algorithmic trading…
In criminal justice risk forecasting, one can prove that it is impossible to optimize accuracy and fairness at the same time. One can also prove that it is impossible optimize at once all of the usual group definitions of fairness. In the…
Optimization of conditional convex risk measure is a central theme in dynamic portfolio selection theory, which has not yet systematically studied in the previous literature perhaps since conditional convex risk measures are neither random…
We consider learning to optimize a classification metric defined by a black-box function of the confusion matrix. Such black-box learning settings are ubiquitous, for example, when the learner only has query access to the metric of…
We provide a necessary and sufficient condition under which a convex set is approachable in a game with partial monitoring, i.e.\ where players do not observe their opponents' moves but receive random signals. This condition is an extension…
This paper studies a portfolio allocation problem, where the goal is to prescribe the wealth distribution at the final time. We study this problem with the tools of optimal mass transport. We provide a dual formulation which we solve by a…
We consider the multi-period portfolio optimization problem with a single asset that can be held long or short. Due to the presence of transaction costs, maximizing the immediate reward at each period may prove detrimental, as frequent…
What should regulators of complex algorithms regulate? We propose a model of oversight over 'black-box' algorithms used in high-stakes applications such as lending, medical testing, or hiring. In our model, a regulator is limited in how…
This work focuses on the mathematical study of constant function market makers. We rigorously establish the conditions for optimal trading under the assumption of a quasilinear, but not necessarily convex (or concave), trade function. This…
Calibrated strategies can be obtained by performing strategies that have no internal regret in some auxiliary game. Such strategies can be constructed explicitly with the use of Blackwell's approachability theorem, in an other auxiliary…
The gain-loss ratio is known to enjoy very good properties from a normative point of view. As a confirmation, we show that the best market gain-loss ratio in the presence of a random endowment is an acceptability index and we provide its…
This paper examines the implementation of a statistical arbitrage trading strategy based on co-integration relationships where we discover candidate portfolios using multiple factors rather than just price data. The portfolio selection…
We present a universal algorithm for online trading in Stock Market which performs asymptotically at least as good as any stationary trading strategy that computes the investment at each step using a fixed function of the side information…
We consider a multi-stock continuous time incomplete market model with random coefficients. We study the investment problem in the class of strategies which do not use direct observations of the appreciation rates of the stocks, but rather…
This paper considers a robust time-consistent mean-variance-skewness portfolio selection problem for an ambiguity-averse investor by taking into account wealth-dependent risk aversion and wealth-dependent skewness preference as well as…
We introduce the concept of accessibility and prove that any convex body $X$ in $\mathbb R^d$ is accessible with relevant constants depending on $d$ only. This property leads to a new algorithm which may be considered as a natural…
Markov decision processes are widely used for planning and verification in settings that combine controllable or adversarial choices with probabilistic behaviour. The standard analysis algorithm, value iteration, only provides a lower bound…
We consider an investor with constant absolute risk aversion who trades a risky asset with general Ito dynamics, in the presence of small proportional transaction costs. Kallsen and Muhle-Karbe (2012) formally derived the leading-order…