相关论文: Competition in Fund Management and Forward Relativ…

Typical characteristics of remote sensing applications are concurrent tasks, such as those found in disaster rapid response. The existing composition approach to geographical information processing service chain, searches for an…

Uncertainty in the output power of large-scale wind power plants (WPPs) can face the electricity market players with undesirable profit variations. Market players can hedge themselves against these risks by participating in forward…

In competitive resource allocation, a central coordinator may seek to gain an advantage not by directly controlling subordinate agents, but by strategically manipulating the information they receive. We study this problem within the…

We consider portfolio selection under nonparametric $\alpha$-maxmin ambiguity in the neighbourhood of a reference distribution. We show strict concavity of the portfolio problem under ambiguity aversion. Implied demand functions are…

Performance of investment managers are evaluated in comparison with benchmarks, such as financial indices. Due to the operational constraint that most professional databases do not track the change of constitution of benchmark portfolios,…

We study continuous-time mean--variance portfolio selection in markets where stock prices are diffusion processes driven by observable factors that are also diffusion processes, yet the coefficients of these processes are unknown. Based on…

Today, many companies take advantage of viral marketing to promote their new products, and since there are several competing companies in many markets, Competitive Influence Maximization has attracted much attention. Two categories of…

This paper examines optimal risk sharing for empirically realistic risk attitudes, providing results on Pareto optimality, competitive equilibria, utility frontiers, and the first and second theorems of welfare. Contrary to common…

Optimizing portfolio performance is a fundamental challenge in financial modeling, requiring the integration of advanced clustering techniques and data-driven optimization strategies. This paper introduces a comparative backtesting approach…

During the last few years, there has been an interest in comparing simple or heuristic procedures for portfolio selection, such as the naive, equal weights, portfolio choice, against more "sophisticated" portfolio choices, and in explaining…

This paper studies robust forward investment and consumption preferences and optimal strategies for a risk-averse and ambiguity-averse agent in an incomplete financial market with drift and volatility uncertainties. We focus on non-zero…

We study two questions related to competition on the OTC CDS market using data collected as part of the EMIR regulation. First, we study the competition between central counterparties through collateral requirements. We present models that…

Though competitive analysis has been a very useful performance measure for the quality of online algorithms, it is recognized that it sometimes fails to distinguish between algorithms of different quality in practice. A number of…

When there are resource constraints, it is important to rank or estimate treatment benefits according to patient characteristics. This facilitates prioritization of assigning different treatments. Most existing literature on individualized…

For the past two decades investors have observed long memory and highly correlated behavior of asset classes that does not fit into the framework of Modern Portfolio Theory. Custom correlation and standard deviation estimators consider…

We show how to restrict the analysis of a class of online problems that includes the $k$-server problem in finite metrics such that we only have to consider finite sequences of request. When applying the restrictions, both the optimal…

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…

Performative prediction is a framework accounting for the shift in the data distribution induced by the prediction of a model deployed in the real world. Ensuring rapid convergence to a stable solution where the data distribution remains…

In this paper, we investigate the Merton portfolio management problem in the context of non-exponential discounting. This gives rise to time-inconsistency of the decision-maker. If the decision-maker at time t=0 can commit his/her…

We propose a mathematical framework for the study of a family of random fields--called forward performances--which arise as numerical representation of certain rational preference relations in mathematical finance. Their spatial structure…