Table of Links Abstract and 1. Introduction Abstract and 1. Introduction 2. Financial Market Model and Worst-Case Optimization Problem 2. Financial Market Model and Worst-Case Optimization Problem 3. Solution to the Post-Crash Problem 3. Solution to the Post-Crash Problem 4. Solution to the Pre-Crash Problem 4. Solution to the Pre-Crash Problem 5. A BSDE Characterization of Indifferences Strategies 5. A BSDE Characterization of Indifferences Strategies 6. The Markovian Case 6. The Markovian Case 7. Numerical Experiments 7. Numerical Experiments Acknowledgments and References Acknowledgments and References Appendix A. Proofs from Section 3 Appendix A. Proofs from Section 3 Appendix B. Proofs of BASDE Results from Section 5 Appendix B. Proofs of BASDE Results from Section 5 Appendix C. Proofs of (CIR) Results from Section 6 Appendix C. Proofs of (CIR) Results from Section 6 2. Financial Market Model and Worst-Case Optimization Problem A particularly important choice of those parameters leads to the following version of the Bates model [5] and Heston model [24], respectively: In addition, we need the following integrability assumptions on the market coefficients λ and σ: Admissible portfolio processes. We restrict our attention to admissible portfolio processes with continuous paths. Admissible portfolio processes. Note that the SDEs above are driven by the Brownian motion W with coefficients that are measurable w.r.t. a larger filtration than the one generated by W only. The solution to the above SDE can then be given explicitly: Authors:
(1) Sascha Desmettre;
(2) Sebastian Merkel;
(3) Annalena Mickel;
(4) Alexander Steinicke. Authors: Authors: (1) Sascha Desmettre; (2) Sebastian Merkel; (3) Annalena Mickel; (4) Alexander Steinicke. This paper is available on arxiv under CC BY 4.0 DEED license. This paper is available on arxiv under CC BY 4.0 DEED license. available on arxiv [1] This means we rule out short sales of the risky asset.

Part of HackerNoon's growing list of open-source research papers, promoting free access to academic material.

Worst-Case Portfolio Optimization & Hyperbolic Graph Clustering

About Author

Comments

TOPICS

THIS ARTICLE WAS FEATURED IN

Related Stories

5 Most Pointless Smart Life Devices to Stay Away From

It Is Okay If You Don't Know What You Like. We Do (feat. Deep Recommendation Algorithms)

10 Machine Learning, Data Science, and Deep Learning Courses for Programmers in 2020

10 Computer Vision Startups on Product Hunt with the Most Upvotes

10 Best Entry Level Machine Learning Tutorials

10 Best + Free Machine Learning Courses Collection

5 Most Pointless Smart Life Devices to Stay Away From

It Is Okay If You Don't Know What You Like. We Do (feat. Deep Recommendation Algorithms)

10 Machine Learning, Data Science, and Deep Learning Courses for Programmers in 2020

10 Computer Vision Startups on Product Hunt with the Most Upvotes

10 Best Entry Level Machine Learning Tutorials

10 Best + Free Machine Learning Courses Collection

Light-Mode

Classic

Newspaper

Minty

Dark-Mode

Neon Noir

Minty

HN StartUps