arXiv 2017-07-01 EN Foreign exchange market modelling and an on-line portfolio selection algorithm Ren, Panpan · Wu, Jiang-Lun
arXiv 2017-06-30 EN Regret-based Selection for Sparse Dynamic Portfolios Puelz, David · Hahn, P. Richard · Carvalho, Carlos
arXiv 2017-06-30 EN A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem Jiang, Zhengyao · Xu, Dixing · Liang, Jinjun
arXiv 2017-06-21 EN Stop-loss and Leverage in optimal Statistical Arbitrage with an application to Energy market Baviera, Roberto · Baldi, Tommaso Santagostino
arXiv 2017-05-30 EN Dynamic Index Tracking and Risk Exposure Control Using Derivatives Leung, Tim · Ward, Brian
arXiv 2017-05-23 EN Sensitivity analysis of the utility maximization problem with respect to model perturbations Mostovyi, Oleksii · Sîrbu, Mihai
arXiv 2017-05-22 EN Using Macroeconomic Forecasts to Improve Mean Reverting Trading Strategies Sharma, Yash
arXiv 2017-05-21 EN On the Black's equation for the risk tolerance function Källblad, Sigrid · Zariphopoulou, Thaleia
arXiv 2017-05-01 EN Are target date funds dinosaurs? Failure to adapt can lead to extinction Forsyth, Peter A. · Li, Yuying · Vetzal, Kenneth R.
arXiv 2017-04-29 EN Multi-Period Trading via Convex Optimization Boyd, Stephen · Busseti, Enzo · Diamond, Steven · Kahn, Ronald N. +3
arXiv 2017-04-26 EN Optimal excess-of-loss reinsurance and investment problem for an insurer with default risk under a stochastic volatility model Yao, Nian · Yang, Zhiming
arXiv 2017-04-08 EN Good Deal Hedging and Valuation under Combined Uncertainty about Drift and Volatility Becherer, Dirk · Kentia, Klebert
arXiv 2017-04-05 EN Replica Analysis for Portfolio Optimization with Single-Factor Model Shinzato, Takashi
arXiv 2017-03-20 EN Biased Risk Parity with Fractal Model of Risk Kamenshchikov, Sergey · Drozdov, Ilia
arXiv 2017-03-13 EN Extremal Behavior of Long-Term Investors with Power Utility Bäuerle, Nicole · Grether, Stefanie
arXiv 2017-03-01 EN Existence and Uniqueness for the Multivariate Discrete Terminal Wealth Relative Hermes, Andreas · Maier-Paape, Stanislaus
