相关论文: A systematic literature review on solution approac…

We discuss and extend a powerful, geometric framework to represent the set of portfolios, which identifies the space of asset allocations with the points lying in a convex polytope. Based on this viewpoint, we survey certain…

The question of pricing and hedging a given contingent claim has a unique solution in a complete market framework. When some incompleteness is introduced, the problem becomes however more difficult. Several approaches have been adopted in…

Optimal selection of interdependent IT Projects for implementation in multi periods has been challenging in the framework of real option valuation. This paper presents a mathematical optimization model for multi-stage portfolio of IT…

We present a general framework for portfolio risk management in discrete time, based on a replicating martingale. This martingale is learned from a finite sample in a supervised setting. The model learns the features necessary for an…

We consider a mixed stochastic control problem that arises in Mathematical Finance literature with the study of interactions between dividend policy and investment. This problem combines features of both optimal switching and singular…

It is widely recognized that when classical optimal strategies are applied with parameters estimated from data, the resulting portfolio weights are remarkably volatile and unstable over time. The predominant explanation for this is the…

We adopt deep learning models to directly optimise the portfolio Sharpe ratio. The framework we present circumvents the requirements for forecasting expected returns and allows us to directly optimise portfolio weights by updating model…

The emergence of robust optimization has been driven primarily by the necessity to address the demerits of the Markowitz model. There has been a noteworthy debate regarding consideration of robust approaches as superior or at par with the…

With the tracking condition, the stability of quintessence solutions are examined. It is found that there is only one physically relevant fixed point for the system generically. Two specific examples of quintessence potentials are worked…

The paper studies problem of continuous time optimal portfolio selection for a incom- plete market diffusion model. It is shown that, under some mild conditions, near optimal strategies for investors with different performance criteria can…

Portfolio diversification and active risk management are essential parts of financial analysis which became even more crucial (and questioned) during and after the years of the Global Financial Crisis. We propose a novel approach to…

We present a simulation-and-regression method for solving dynamic portfolio allocation problems in the presence of general transaction costs, liquidity costs and market impacts. This method extends the classical least squares Monte Carlo…

Building predictive models for robust and accurate prediction of stock prices and stock price movement is a challenging research problem to solve. The well-known efficient market hypothesis believes in the impossibility of accurate…

The robust tracking and model following problem of linear discrete-time systems is investigated in this paper. An approach to design robust tracking controllers is proposed. The system is controlled to track dynamic inputs generated from a…

With the improvement of computer performance and the development of GPU-accelerated technology, trading with machine learning algorithms has attracted the attention of many researchers and practitioners. In this research, we propose a novel…

The passivity index, a quantitative measure of a system's passivity deficiency or excess, has been widely used in stability analysis and control. Existing studies mostly rely on scalar forms of indices, which are restrictive for…

A framework is introduced for sequentially solving convex stochastic minimization problems, where the objective functions change slowly, in the sense that the distance between successive minimizers is bounded. The minimization problems are…

We review a resent {\em time-dependent} performance measure for economical time series -- the (optimal) investment horizon approach. For stock indices, the approach shows a pronounced gain-loss asymmetry that is {\em not} observed for the…

Optimal trading strategies for pairs trading have been studied by models that try to find either optimal shares of stocks by assuming no transaction costs or optimal timing of trading fixed numbers of shares of stocks with transaction…

We consider a portfolio optimisation problem for a utility-maximising investor who faces convex constraints on his portfolio allocation in Heston's stochastic volatility model. We apply the duality methods developed in previous work to…