Results 11 to 20 of about 235 (35)
Exponential Utility Maximization in a Discrete Time Gaussian Framework
, 2023 The aim of this short note is to present a solution to the discrete time exponential utility maximization problem in a case where the underlying asset has a multivariate normal distribution.
Dolinsky, Yan, Zuk, Or
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Sparse Portfolio selection via Bayesian Multiple testing
, 2020 We presented Bayesian portfolio selection strategy, via the $k$ factor asset pricing model. If the market is information efficient, the proposed strategy will mimic the market; otherwise, the strategy will outperform the market.
Das, Sourish, Sen, Rituparna
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Duality Theory for Exponential Utility Based Hedging in the Almgren--Chriss Model
, 2022 In this paper we develop the duality theory for the exponential utility maximization problem where trading is subject to quadratic transaction costs and the investor is required to liquidate her position at the maturity date.
Dolinsky, Yan
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A multifractional option pricing formula
, 2023 Fractional Brownian motion has become a standard tool to address long-range dependence in financial time series. However, a constant memory parameter is too restrictive to address different market conditions.
Araneda, Axel A.
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When to efficiently rebalance a portfolio
, 2023 A constant weight asset allocation is a popular investment strategy and is optimal under a suitable continuous model. We study the tracking error for the target continuous rebalancing strategy by a feasible discrete-in-time rebalancing under a general ...
Ando, Masayuki, Fukasawa, Masaaki
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Statistically consistent term structures have affine geometry
, 2023 This paper is concerned with finite dimensional models for the entire term structure for energy futures. As soon as a finite dimensional set of possible yield curves is chosen, one likes to estimate the dynamic behaviour of the yield curve evolution from
Krühner, Paul, Xu, Shijie
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Robust utility maximization with intractable claims
, 2023 We study a continuous-time expected utility maximization problem in which the investor at maturity receives the value of a contingent claim in addition to the investment payoff from the financial market.
Li, Yunhong, Xu, Zuo Quan, Zhou, Xun Yu
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Explicit Computations for Delayed Semistatic Hedging
, 2023 In this work we consider the exponential utility maximization problem in the framework of semistatic ...
Dolinsky, Yan, Zuk, Or
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, 2022 We consider a continuous-time financial market with no arbitrage and no transactions costs. In this setting, we introduce two types of perpetual contracts, one in which the payoff to the long side is a fixed function of the underlyers and the long side ...
Angeris, Guillermo +3 more
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Price modelling under generalized fractional Brownian motion
, 2023 The Generalized fractional Brownian motion (gfBm) is a stochastic process that acts as a generalization for both fractional, sub-fractional, and standard Brownian motion.
Araneda, Axel A.
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