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Found 11 papers, 1 papers with code
Risk, utility and sensitivity to large losses
In this paper we investigate under which conditions a risk or utility functional is sensitive to the accumulation of losses in the sense that any sufficiently large multiple of a position that exposes an agent to future losses has positive risk or negative utility.
Portfolio Optimization under Transaction Costs with Recursive Preferences
The Merton investment-consumption problem is fundamental, both in the field of finance, and in stochastic control.
An elementary proof of the dual representation of Expected Shortfall
We provide an elementary proof of the dual representation of Expected Shortfall on the space of integrable random variables over a general probability space.
Model-based gym environments for limit order book trading
This paper introduces \mbtgym, a Python module that provides a suite of gym environments for training reinforcement learning (RL) agents to solve such model-based trading problems.
$ρ$-arbitrage and $ρ$-consistent pricing for star-shaped risk measures
This paper revisits mean-risk portfolio selection in a one-period financial market, where risk is quantified by a star-shaped risk measure $\rho$.
Proper solutions for Epstein-Zin Stochastic Differential Utility
Finally, we solve the optimal investment-consumption problem in a constant parameter financial market, where we optimise over the right-continuous attainable consumption streams that have a unique proper utility process associated to them.
Liquidity Provision with Adverse Selection and Inventory Costs
We study one-shot Nash competition between an arbitrary number of identical dealers that compete for the order flow of a client.
The Infinite Horizon Investment-Consumption Problem for Epstein-Zin Stochastic Differential Utility
The paper has three main goals: first, to provide a detailed introduction to infinite-horizon Epstein-Zin stochastic differential utility, including a discussion of which parameter combinations lead to a well-formulated problem; second, to prove existence and uniqueness of infinite horizon Epstein-Zin stochastic differential utility under a restriction on the parameters governing the agent's risk aversion and temporal variance aversion; and third, to provide a verification argument for the candidate optimal solution to the investment-consumption problem among all admissible consumption streams.
Mean-$ρ$ portfolio selection and $ρ$-arbitrage for coherent risk measures
We show that the absence of $\rho$-arbitrage is intimately linked to the interplay between the set of equivalent martingale measures (EMMs) for the discounted risky assets and the set of absolutely continuous measures in the dual representation of $\rho$.
An elementary approach to the Merton problem
In this article we consider the infinite-horizon Merton investment-consumption problem in a constant-parameter Black - Scholes - Merton market for an agent with constant relative risk aversion R. The classical primal approach is to write down a candidate value function and to use a verification argument to prove that this is the solution to the problem.
Equilibrium Asset Pricing with Transaction Costs
We study risk-sharing economies where heterogenous agents trade subject to quadratic transaction costs.
