Research
Research
Research
Research
74+ open-access research outputs.
We investigate the continuous-time Markowitz mean-variance portfolio selection problem within a multivariate class of fake stationary affine Volterra models. In this non-Markovian and non-semimartinga…
We consider a class of two-stage nonconvex nonsmooth stochastic conic program, where the objective functions in both stages can contain nonsmooth terms that are functions with easily computed proximal…
Mixed-Integer Programs (MIPs) are NP-hard optimization models that arise in a broad range of decision-making applications, including finance, logistics, energy systems, and network design. Although mo…
In this paper, we develop a time-series-based signed network model for dimensionality reduction in portfolio optimization, grounded in Markowitz's portfolio theory and extended to incorporate higher-o…
We study entropy-regularized mean-variance portfolio optimization under Bayesian drift uncertainty. Gaussian policies remain optimal under partial information, the value function is quadratic in wealt…
We investigate domains in Minkowski space that are Gromov hyperbolic with respect to a Kobayashi-like metric introduced by Markowitz in the 1980s. For convex, future complete domains, Gromov hyperboli…
Effectively encoding inequality constraints is a primary obstacle in applying quantum algorithms to financial optimization. A quantum model for Markowitz portfolio optimization is presented that resol…
We prove the mathematically rigorous (semi-)classical limit $\hbar \to 0$ of the Dirac equation with time-dependent external electromagnetic field to relativistic Vlasov equations with Lorentz force f…
Chifan-Ioana (2010) implies that, for any factor of IID percolation on any nonamenable Cayley graph $G$, there is a countable set of (strong) indistinguishability classes for non-hyperfinite clusters.…
In the standard random graph process, edges are added to an initially empty graph one by one uniformly at random. A classic result by Ajtai, Koml\'os, and Szemer\'edi, and independently by Bollob\'as,…
We revisit Merton's continuous-time portfolio selection through a data-driven, distributionally robust lens. Our aim is to tap the benefits of frequent trading over short horizons while acknowledging …
In this paper, the mean-variance portfolio selection problem with Poisson jumps are studied, where the recursive utility is given by the solution to a backward stochastic differential equation with Po…
Investing in Asian markets through exchange-traded funds (ETFs) provides investors with access to rapidly expanding economies and valuable diversification opportunities. This study examines the advant…
In the 1980s, M. J. Markowitz introduced a conformally invariant pseudodistance on pseudo-Riemannian manifolds, inspired by the Kobayashi metric in projective geometry. This construction relies on a d…
The deviation vectors provide additional degrees of freedom and effectively enhance the flexibility of algorithms. In the literature, the iterative schemes with deviations are constructed and their co…
Let $H$ be a subdigraph of a digraph $D$. An ear of $H$ in $D$ is a path or a cycle in $D$ whose ends lie in $H$ but whose internal vertices do not. An \emph{ear decomposition} of a strong digraph $D$…
For $t \in \mathbb{N}$, we say that a colouring of $E(K_n)$ is $\textit{almost}$ $t$-$\textit{Gallai}$ if no two rainbow $t$-cliques share an edge. Motivated by a lemma of Berkowitz on bounding the mo…
Portfolio optimization aims at constructing a realistic portfolio with significant out-of-sample performance, which is typically measured by the out-of-sample Sharpe ratio. However, due to in-sample o…
We formalize algorithms computing Pfaffian in the theory of bounded arithmetic for sharpL which is based on Berkowitz algorithm for the determinant. We also prove relations among Pfaffian properties. …
A highly relevant problem of modern finance is the design of Value-at-Risk (VaR) optimal portfolios. Due to contemporary financial regulations, banks and other financial institutions are tied to use t…
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