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On the existence of optimal portfolios for the utility maxi- mization problem in discrete time financial market models. In From stochastic calculus to mathematical finance ,
report the results of the proposed probabilistic active trading strategy for both the Deep-Learning model. and the SVM model., as well as the buy-and-hold investing strategy are
We work with a parsimonious parametrization of ordered binary choice regression that quite precisely forecasts future conditional probability distributions of returns, using
In Table 1 , the assets were splitted into two groups, (a) containing the mean returns of the 20 assets with the highest and lowest eigenvector cen- trality, and (b) the mean
If poor agents pay higher tax rates than rich agents, eventually all wealth becomes concentrated in the hands of a single agent.. By contrast, if poor agents are subject to lower
(There is also a paper by Cox and Hoeggerl [9] which asks about the possible shapes of the price of an American put, considered as a function of strike, given the prices of
particular, we compare the performance of the different solution methods for the subset selection problem, analyze the dependency of optimal hedging portfolio and hedging error on
We apply the theory to set up a variance-optimal semi-static hedging strategy for a variance swap in both the Heston and the 3/2-model, the latter of which is a non-affine
