(e.g. Min t-cost, s.t. the order is executed) (2) Portfolio Optimization: what is the optimal portfolio? (e.g. classic Markowitz) (3) Some alpha signal generation. Focusing on the first strand, we revisit the work of Almgren and Chriss in 2000. ...
In constructing portfolios, investors often combine risky assets with risk-free assets (such as government bonds) to reduce risks. A complete portfolio is defined as a combination of a risky asset portfolio, with return Rp, and the risk-free asset, with return Rf. The expected return of a c...
Within our modelling framework, the optimal portfolio process converges to the solution of an optimal liquidation problem with general semimartingale controls when the instantaneous impact factor converges to zero. Our results provide a unified framework within which to embed the two most commonly used ...
We consider portfolio optimization under a preference model in a single-period, complete market. This preference model includes Yaari’s dual theory of choice and quantile maximization as special cases. We characterize when the optimal solution exists and derive the optimal solution in closed form wh...
These risk-indifference curves were calculated with the utility formula, setting the risk aversion coefficient = 2. Note that there is a point where 1 utility curve intersects the efficient frontier at a single point — this is the optimum portfolio for someone with a moderate amount of risk av...
Optimal portfolio choiceHeston‘s process3/2 processWealth equivalent lossesThis paper derives optimal investment strategies for the 4/2 stochastic volatility model proposed in [Grasselli, M., The 4/2 stochastic volatility model: a unified approach for the Heston and the 3/2 model. Math. Finance...
This has led to a lot of research on optimal portfolio execution, largely in the context of market impact models. In these models one directly specifies the impact of a given trading strategy on the bid price of the asset and the fundamental price (i.e. the price if the trader is ...
CVaR is commonly used in portfolio optimization and risk management to control the downside risk of a portfolio (Zhu & Fukushima, 2009). Subsequent literature has extensively studied commodity or energy trading (Dahgren et al., 2003), operational optimization of microgrid aggregators (Nguyen & Le...
Reporting summary Further information on research design is available in the Nature Portfolio Reporting Summary linked to this article.Data availability All data supporting the findings reported here are available in the paper and Supplementary Information. The raw DNA sequencing data of the 2,839 rice...
Abstract By solving the Cauchy problem for the Hodge-Laplace heat equation ford-closed, positive (1,1)-forms, we prove an optimal gap theorem for Kähler manifolds with nonnegative bisectional curvature which asserts that the manifold is flat if the average of the scalar curvature over balls ...