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Forward-backward systems for expected utility maximization

Horst, Ulrich; Hu, Ying; Imkeller, Peter; Réveillac, … - 2011

In this paper we deal with the utility maximization problem with a general utility function. We derive a new approach in which we reduce the utility maximization problem with general utility to the study of a fully-coupled Forward-Backward Stochastic Differential Equation (FBSDE).

Persistent link: https://www.econbiz.de/10009349307

Optimal Execution Horizon

Easley, David - 2015

Execution traders know that market impact greatly depends on whether their orders lean with or against the market. We introduce the OEH model, which incorporates this fact when determining the optimal trading horizon for an order, an input required by many sophisticated execution strategies....

Persistent link: https://www.econbiz.de/10013036991

Computing integral solutions of complementarity problems

Laan, Gerard van der; Talman, Dolf; Yang, Zaifu - 2004

In this paper an algorithm is proposed to find an integral solution of (nonlinear) complementarity problems. The algorithm starts with a nonnegative integral point and generates a unique sequence of adjacent integral simplices of varying dimension. Conditions are stated under which the algorithm...

Persistent link: https://www.econbiz.de/10011343323

Existence and uniqueness of solutions to dynamic models with occasionally binding constraints.

Holden, Tom D. - 2017 - This version: 23 August 2017

We present the first necessary and sufficient conditions for there to be a unique perfect-foresight solution to an otherwise linear dynamic model with occasionally binding constraints, given a fixed terminal condition. We derive further results on the existence of a solution in the presence of...

Persistent link: https://www.econbiz.de/10011717372

Existence and uniqueness of solutions to dynamic models with occasionally binding constraints.

Holden, Tom D. - 2016 - This version: 30 July 2016

We present the first necessary and sufficient conditions for there to be a unique perfect-foresight solution to an otherwise linear dynamic model with occasionally binding constraints, given a fixed terminal condition. We derive further conditions on the existence of a solution in such models....

Persistent link: https://www.econbiz.de/10011518459

Equilibrium pricing bounds on option prices

Chazal, Marie; Jouini, Elyès - In: Mathematics and financial economics 1 (2008) 3/4, pp. 251-281

Persistent link: https://www.econbiz.de/10003722530

On regularized optimal execution problems and their singular limits

Souza, Max O.; Thamsten, Y. - In: Applied mathematical finance 29 (2022) 2, pp. 79-109

Persistent link: https://www.econbiz.de/10013554788

Parallel optimization of sparse portfolios with AR-HMMs

Sipos, I. Róbert; Ceffer, Attila; Levendovszky, János - In: Computational economics 49 (2017) 4, pp. 563-578

Persistent link: https://www.econbiz.de/10011762135

Optimal portfolio selection with volatility information for a high frequency rebalancing algorithm

Bağcı, Mahmut; Soylu, Pınar Kaya - In: Financial innovation : FIN 10 (2024), pp. 1-28

and volatility regimes. Using cointegrated price data, it is shown that increasing the number of assets in a portfolio … supports the proftability of the HFRA in an up-trend and reduces the potential loss of the HFRA in a down-trend in a high-volatility … environment. For low-volatility regimes, although increasing portfolio size marginally enhances the HFRA's proftability, the …

Persistent link: https://www.econbiz.de/10014541693

Intraday power trading : toward an arms race in weather forecasting?

Kuppelwieser, Thomas; Wozabal, David - In: OR spectrum : quantitative approaches in management 45 (2023) 1, pp. 57-83

Persistent link: https://www.econbiz.de/10014226371