Infinitesimal generators for two-dimensional Lévy process-driven hypothesis testing

Roberts, Michael; Sengupta, Indranil

doi:10.1007/s10436-019-00355-y

Cited by 18 publications

(13 citation statements)

References 18 publications

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“…This lends to the co-learning theory in which all players attempt to learn their optimal strategies concurrently (Sheppard 1998). This can also be described as the learning process of a decision-making system where the sensors receive a signal (Roberts & SenGupta 2020). Figure 2 describes the feedback system of the game.…”

Section: Feedback Nash Equilibrium (Fne) Solution Conceptmentioning

confidence: 99%

Optimal capital structure and the debtholder-manager conflicts of interests: a management decision model

Adeoye

Islam

Adekunle

2020

JM2

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Purpose Determining the optimal capital structure becomes more complicated by the presence of an agency problem. The issuance of debt as a corporate governance mechanism introduces the asset substitution problem – the agency cost of debt. Thus, there is a recognized need for models that can resolve the agency problem between the debtholder and the manager who acts on behalf of the shareholder, leading to optimal capital structure choice, and enhanced firm value. The purpose of this paper is to model the debtholder-manager agency problem as a dynamic game, resolve the conflicts of interests and determine the optimal capital structure. Design/methodology/approach As there is no satisfactory model for dealing with the above issues, this paper uses a differential game framework to analyze the incongruity of interests between the debtholder and the manager as a non-cooperative dynamic game and further resolves the conflicts of interests as a cooperative game via a Pareto-efficient outcome. Findings The optimal capital structure required to minimize the marginal cost of the agency problem is a higher use of debt, lower cost of equity and withheld capital distributions. The debtholder is also able to enforce cooperation from the manager by providing a lower and stable cost of debt and a greater debt facility in the overtime framework. Originality/value The study develops a new dynamic contract theory model based on the integrated issues of capital structure, corporate governance and agency problems and applies the differential game approach to minimize the agency problem between the debtholder and the manager.

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Section: Feedback Nash Equilibrium (Fne) Solution Conceptmentioning

confidence: 99%

Optimal capital structure and the debtholder-manager conflicts of interests: a management decision model

Adeoye

Islam

Adekunle

2020

JM2

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“…For the small-time horizon, the approximate value function is obtained by constructing classical sub-solution and super-solution to the HJB partial differential equation using a formal expansion in powers of horizon time. The method of super-solution and sub-solution to bind the solution of interest has been recently used to optimize portfolios in the commodity market (see [14,15]). In those works, however, the problem is studied from the point of view of the sequential decision-making problem.…”

Section: Introductionmentioning

confidence: 99%

“…Similarly, we apply (A.7), (A.9) and (A.10) into equation (3.12) and find U (1) x ∼ U T (x), (A. 14) then apply (A.10) into equation (3.16) and find U (1) xy ∼ U T (x). (A.15)…”

mentioning

confidence: 99%

Analysis of optimal portfolio on finite and small time horizons for a stochastic volatility market model

Lin,

SenGupta

2021

Preprint

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In this paper, we consider the portfolio optimization problem in a financial market under a general utility function. Empirical results suggest that if a significant market fluctuation occurs, invested wealth tends to have a notable change from its current value. We consider an incomplete stochastic volatility market model, that is driven by both a Brownian motion and a jump process. At first, we obtain a closed-form formula for an approximation to the optimal portfolio in a small-time horizon. This is obtained by finding the associated Hamilton-Jacobi-Bellman integro-differential equation and then approximating the value function by constructing appropriate super-solution and subsolution. It is shown that the true value function can be obtained by sandwiching the constructed super-solution and sub-solution. We also prove the accuracy of the approximation formulas. Finally, we provide a procedure for generating a close-tooptimal portfolio for a finite time horizon.

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“…This refinement is obtained through the application of data-science, especially machine/deep learning algorithms. This machine/deep learning-based redefined model is implemented for commodity markets in [14,15].…”

Section: Introductionmentioning

confidence: 99%

A data-science-driven short-term analysis of Amazon, Apple, Google, and Microsoft stocks

Ekapure,

Jiruwala,

Patnaik

et al. 2021

Preprint

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In this paper, we implement a combination of technical analysis and machine/deep learning-based analysis to build a trend classification model. The goal of the paper is to apprehend short-term market movement, and incorporate it to improve the underlying stochastic model. Also, the analysis presented in this paper can be implemented in a model-independent fashion. We execute a data-science-driven technique that makes shortterm forecasts dependent on the price trends of current stock market data. Based on the analysis, three different labels are generated for a data set: +1 (buy signal), 0 (hold signal), or −1 (sell signal). We propose a detailed analysis of four major stocks-Amazon, Apple, Google, and Microsoft. We implement various technical indicators to label the data set according to the trend and train various models for trend estimation. Statistical analysis of the outputs and classification results are obtained.

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Infinitesimal generators for two-dimensional Lévy process-driven hypothesis testing

Cited by 18 publications

References 18 publications

Optimal capital structure and the debtholder-manager conflicts of interests: a management decision model

Optimal capital structure and the debtholder-manager conflicts of interests: a management decision model

Analysis of optimal portfolio on finite and small time horizons for a stochastic volatility market model

A data-science-driven short-term analysis of Amazon, Apple, Google, and Microsoft stocks

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