投资组合管理
In this paper, we study the exponential utility indifference pricing of pure endowment policies within a stochastic-factor model for an insurer who also invests in a financial market. Our framework incorporates a hazard rate modeled as an…
The rapid growth of crypto markets has opened new opportunities for investors, but at the same time exposed them to high volatility. To address the challenge of managing dynamic portfolios in such an environment, this paper presents a…
This study proposes a novel portfolio optimization framework that integrates statistical social network analysis with time series forecasting and risk management. Using daily stock data from the S&P 500 (2020-2024), we construct dependency…
In this paper, we investigate mean-variance (MV) portfolio selection problems with jumps in a regime-switching financial model. The novelty of our approach lies in allowing not only the market parameters -- such as the interest rate,…
This note discusses some of the aspects of a model for the covariance of equity returns based on a simple "isotropic" structure in which all pairwise correlations are taken to be the same value. The effect of the structure on feasible…
This paper presents a novel hierarchical framework for portfolio optimization, integrating lightweight Large Language Models (LLMs) with Deep Reinforcement Learning (DRL) to combine sentiment signals from financial news with traditional…
Sparse portfolio optimization is a fundamental yet challenging problem in quantitative finance, since traditional approaches heavily relying on historical return statistics and static objectives can hardly adapt to dynamic market regimes.…
This study investigates the impact of the pandemic on the most traded stocks in the Colombian stock market for the date of January 17, 2024. Based on the daily data of the most traded companies in Colombia for said date and covering a…
This study investigates the impact of data source diversity on the performance of cryptocurrency forecasting models by integrating various data categories, including technical indicators, on-chain metrics, sentiment and interest metrics,…
Investment herding, a phenomenon where households mimic the decisions of others rather than relying on their own analysis, has significant effects on financial markets and household behavior. Excessive investment herding may reduce…
Assuming frictionless trading, classical stochastic portfolio theory (SPT) provides relative arbitrage strategies. However, the costs associated with real-world execution are state-dependent, volatile, and under increasing stress during…
This paper investigates optimal withdrawal strategies and behavior of policyholders in a variable annuity (VA) contract with a guaranteed minimum withdrawal benefit (GMWB) rider incorporating taxation and a ratchet mechanism for enhancing…
In the online portfolio optimization framework, existing learning algorithms generate strategies that yield significantly poorer cumulative wealth compared to the best constant rebalancing portfolio in hindsight, despite being consistent in…
We present a reinforcement learning (RL)-driven framework for optimizing block-preconditioner sizes in iterative solvers used in portfolio optimization and option pricing. The covariance matrix in portfolio optimization or the…
Financial institutions increasingly adopt customer-centric strategies to enhance profitability and build long-term relationships. While Customer Lifetime Value (CLV) is a core metric, its calculations often rely solely on single-entity…
Forecasting central bank policy decisions remains a persistent challenge for investors, financial institutions, and policymakers due to the wide-reaching impact of monetary actions. In particular, anticipating shifts in the U.S. federal…
Extending Buehler et al.'s 2019 Deep Hedging paradigm, we innovatively employ deep neural networks to parameterize convex-risk minimization (CVaR/ES) for the portfolio tail-risk hedging problem. Through comprehensive numerical experiments…
We consider the problem of optimal investment with random endowment in a Black--Scholes market for an agent with constant relative risk aversion. Using duality arguments, we derive an explicit expression for the optimal trading strategy,…
Project portfolio management is an essential process for organizations aiming to optimize the value of their R&D investments. In this article, we introduce a new tool designed to support the prioritization of projects within project…
In this paper, we present an integrated approach to portfolio construction and optimization, leveraging high-performance computing capabilities. We first explore diverse pairings of generative model forecasts and objective functions used…