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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 ,
We consider the optimal portfolio problem where the interest rate is stochastic and the agent has insider information on its value at a finite terminal time.. The agent’s objective
Next, by utilizing a fast computational method for how the rare event occurs and the proposed importance sampling method, we provide an efficient simulation algorithm to esti- mate
The studies reveal at least four fundamentally distinct channels for the propagation and amplification of shocks within the financial system and to the macroeconomy: (i)
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
The standard Gaussian prior (setting 1) in red solid strokes, the row-wise Lasso prior (setting 2) in blue long-dashed strokes, the column-wise Lasso prior (setting 3) in
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
∗ Corresponding author, [email protected].. using the analytical approaches developed in the cross-disciplinary research fields in- volving econophysics and
