Page 1 Next

Displaying 1 – 20 of 59

Showing per page

A note on the optimal portfolio problem in discrete processes

Naoyuki Ishimura, Yuji Mita (2009)


We deal with the optimal portfolio problem in discrete-time setting. Employing the discrete Itô formula, which is developed by Fujita, we establish the discrete Hamilton–Jacobi–Bellman (d-HJB) equation for the value function. Simple examples of the d-HJB equation are also discussed.

A stochastic programming approach to managing liquid asset portfolios

Helgard Raubenheimer, Machiel F. Kruger (2010)


Maintaining liquid asset portfolios involves a high carry cost and is mandatory by law for most financial institutions. Taking this into account a financial institution's aim is to manage a liquid asset portfolio in an “optimal” way, such that it keeps the minimum required liquid assets to comply with regulations. In this paper we propose a multi-stage dynamic stochastic programming model for liquid asset portfolio management. The model allows for portfolio rebalancing decisions over a multi-period...

Adaptive predictions of the euro/złoty currency exchange rate using state space wavelet networks and forecast combinations

Mietek A. Brdyś, Marcin T. Brdyś, Sebastian M. Maciejewski (2016)

International Journal of Applied Mathematics and Computer Science

The paper considers the forecasting of the euro/Polish złoty (EUR/PLN) spot exchange rate by applying state space wavelet network and econometric forecast combination models. Both prediction methods are applied to produce one-trading-dayahead forecasts of the EUR/PLN exchange rate. The paper presents the general state space wavelet network and forecast combination models as well as their underlying principles. The state space wavelet network model is, in contrast to econometric forecast combinations,...

An asset – liability management stochastic program of a leasing company

Tomáš Rusý, Miloš Kopa (2018)


We build a multi-stage stochastic program of an asset-liability management problem of a leasing company, analyse model results and present a stress-testing methodology suited for financial applications. At the beginning, the business model of such a company is formulated. We introduce three various risk constraints, namely the chance constraint, the Value-at-Risk constraint and the conditional Value-at-Risk constraint along with the second-order stochastic dominance constraint, which are applied...

An explicit solution for optimal investment problems with autoregressive prices and exponential utility

Sándor Deák, Miklós Rásonyi (2015)

Applicationes Mathematicae

We calculate explicitly the optimal strategy for an investor with exponential utility function when the price of a single risky asset (stock) follows a discrete-time autoregressive Gaussian process. We also calculate its performance and analyse it when the trading horizon tends to infinity. Dependence of the asymptotic performance on the autoregression parameter is determined. This provides, to the best of our knowledge, the first instance of a theorem linking directly the memory of the asset price...

Antieigenvalue analysis for continuum mechanics, economics, and number theory

Karl Gustafson (2016)

Special Matrices

My recent book Antieigenvalue Analysis, World-Scientific, 2012, presented the theory of antieigenvalues from its inception in 1966 up to 2010, and its applications within those forty-five years to Numerical Analysis, Wavelets, Statistics, Quantum Mechanics, Finance, and Optimization. Here I am able to offer three further areas of application: Continuum Mechanics, Economics, and Number Theory. In particular, the critical angle of repose in a continuum model of granular materials is shown to be exactly...

Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management in insurance and finance

Łukasz Delong (2012)

Applicationes Mathematicae

We investigate novel applications of a new class of equations which we call time-delayed backward stochastic differential equations. Time-delayed BSDEs may arise in insurance and finance in an attempt to find an investment strategy and an investment portfolio which should replicate a liability or meet a target depending on the strategy applied or the past values of the portfolio. In this setting, a managed investment portfolio serves simultaneously as the underlying security on which the liability/target...

Arbitrage for simple strategies

Agnieszka Rygiel, Łukasz Stettner (2012)

Applicationes Mathematicae

Various aspects of arbitrage on finite horizon continuous time markets using simple strategies consisting of a finite number of transactions are studied. Special attention is devoted to transactions without shortselling, in which we are not allowed to borrow assets. The markets without or with proportional transaction costs are considered. Necessary and sufficient conditions for absence of arbitrage are shown.

Comparison principle approach to utility maximization

Peter Imkeller, Victor Nzengang (2015)

Banach Center Publications

We consider the problem of optimal investment for maximal expected utility in an incomplete market with trading strategies subject to closed constraints. Under the assumption that the underlying utility function has constant sign, we employ the comparison principle for BSDEs to construct a family of supermartingales leading to a necessary and sufficient condition for optimality. As a consequence, the value function is characterized as the initial value of a BSDE with Lipschitz growth.

Constrained portfolio liquidation in a limit order book model

Aurélien Alfonsi, Antje Fruth, Alexander Schied (2008)

Banach Center Publications

We consider the problem of optimally placing market orders so as to minimize the expected liquidity costs from buying a given amount of shares. The liquidity price impact of market orders is described by an extension of a model for a limit order book with resilience that was proposed by Obizhaeva and Wang (2006). We extend their model by allowing for a time-dependent resilience rate, arbitrary trading times, and general equilibrium dynamics for the unaffected bid and ask prices. Our main results...

Decision-making of portfolio investment with linear plus double exponential utility function

Qingjian Zhou, Jia Jiao, Datian Niu, Deli Yang (2013)

RAIRO - Operations Research - Recherche Opérationnelle

This paper broadens the exponential utility function commonly used by risk-averse investors to the linear plus double exponential utility function, which is applicable in most cases. Thus it is of essential and supreme significance to conduct a research on its optimal investment portfolio in securities investment. This paper, by means of the non-difference curve method, carries out a research into the optimal portfolio decision-making by investors who have this type of utility function. The optimal...

Decomposition of large-scale stochastic optimal control problems

Kengy Barty, Pierre Carpentier, Pierre Girardeau (2010)

RAIRO - Operations Research

In this paper, we present an Uzawa-based heuristic that is adapted to certain type of stochastic optimal control problems. More precisely, we consider dynamical systems that can be divided into small-scale subsystems linked through a static almost sure coupling constraint at each time step. This type of problem is common in production/portfolio management where subsystems are, for instance, power units, and one has to supply a stochastic power demand at each time step. We outline the framework...

Discrete time risk sensitive portfolio optimization with consumption and proportional transaction costs

Łukasz Stettner (2005)

Applicationes Mathematicae

Risk sensitive and risk neutral long run portfolio problems with consumption and proportional transaction costs are studied. Existence of solutions to suitable Bellman equations is shown. The asymptotics of the risk sensitive cost when the risk factor converges to 0 is then considered. It turns out that optimal strategies are stationary functions of the portfolio (portions of the wealth invested in assets) and of economic factors. Furthermore an optimal portfolio strategy for a risk neutral control...

Currently displaying 1 – 20 of 59

Page 1 Next