Results 81 to 90 of about 66,313 (214)
Optimal Portfolio Choice With Cross‐Impact Propagators
Mathematical Finance, EarlyView.ABSTRACT We consider a class of optimal portfolio choice problems in continuous time where the agent's transactions create both transient cross‐impact driven by a matrix‐valued Volterra propagator, as well as temporary price impact. We formulate this problem as the maximization of a revenue‐risk functional, where the agent also exploits available ...
Eduardo Abi Jaber +2 more
wiley +1 more source
Constructions of the Average Rate of Return of Pension or Investment Funds Based on Chain Indices [PDF]
Statistika: Statistics and Economy Journal, 2014 In this paper we consider the problem of the proper construction of the average rate of return of pension (or investment) funds. We refer to some economical postulates given by Gajek and Kaluszka (2000).
Jacek Białek
doaj
Pricing without martingale measure [PDF]
ESAIM: Proceedings and SurveysFor several decades, the martingale measures have played a major role in financial asset pricing theory. In this paper, we propose an approach based on the conditional support of the asset price increments that avoids the technical diffilcuties arising ...
Baptiste Julien +2 more
doaj +1 more source
On the central and local limit theorem for martingale difference sequences
, 2004 Let $(\Omega, \A, \mu)$ be a Lebesgue space and $T$ an ergodic measure preserving automorphism on $\Omega$ with positive entropy. We show that there is a bounded and strictly stationary martingale difference sequence defined on $\Omega$ with a common non-
Machkouri, Mohamed El, Volny, Dalibor
core +1 more source
Reinforcement Learning for Jump‐Diffusions, With Financial Applications
Mathematical Finance, EarlyView.ABSTRACT We study continuous‐time reinforcement learning (RL) for stochastic control in which system dynamics are governed by jump‐diffusion processes. We formulate an entropy‐regularized exploratory control problem with stochastic policies to capture the exploration–exploitation balance essential for RL.
Xuefeng Gao, Lingfei Li, Xun Yu Zhou
wiley +1 more source
Never, Ever Getting Started: On Prospect Theory Without Commitment
Mathematical Finance, EarlyView.ABSTRACT Prospect theory is arguably the most prominent alternative to expected utility theory. We study the investment or gambling behavior of a prospect theory decision maker who is aware of his time‐inconsistency but lacks commitment. For the empirically relevant prospect theory specifications, we obtain the extreme prediction that such a decision ...
Sebastian Ebert, Philipp Strack
wiley +1 more source
Characterisation of exchangeable sequences through empirical distributions
, 2019 The fact that the empirical distributions of an exchangeable sequence form a reverse-martingale is a well-know result. The converse statement is proved, under the additional assumption of stationarity.
Bladt, Martin
core
Inference on the Attractor Space via Functional Approximation
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT This paper discusses semiparametric inference on hypotheses on the cointegration and the attractor spaces for I(1)$$ I(1) $$ linear processes with moderately large cross‐sectional dimension. The approach is based on sample canonical correlations and functional approximation of Brownian motions, and it can be applied both to the whole system ...
Massimo Franchi, Paolo Paruolo
wiley +1 more source
Operator Fractional Brownian Motion and Martingale Differences
Abstract and Applied Analysis, 2014 It is well known that martingale difference sequences are very useful in applications and theory. On the other hand, the operator fractional Brownian motion as an extension of the well-known fractional Brownian motion also plays an important role in both
Hongshuai Dai +2 more
doaj +1 more source
, 2015 Kuroda and Nagai \cite{KN} state that the factor process in the Risk Sensitive control Asset Management (RSCAM) is stable under the F\"ollmer-Schweizer minimal martingale measure .
Deshpande, Amogh
core