2 citations · 4 across the 12 of their papers we have counts for
13 papers
Optimal Investment and Consumption in Financial Markets with Integrated Variance Clocks
Eduardo Abi Jaber, Florian Gutekunst, Martin Herdegen +1
We study the infinite-horizon optimal investment and consumption problem in a general class of continuous financial markets, where uncertainty is driven by a continuous non-decreas…
Competition between DEXs through Dynamic Fees
Leonardo Baggiani, Martin Herdegen, Leandro Sanchez-Betancourt
We find an approximate Nash equilibrium in a game between decentralized exchanges (DEXs) that compete for order flow by setting dynamic trading fees. We characterize the equilibriu…
Optimal Investment and Consumption in a Stochastic Factor Model
Florian Gutekunst, Martin Herdegen, David Hobson
In this article, we study optimal investment and consumption in an incomplete stochastic factor model for a power utility investor on the infinite horizon. When the state space of…
The Interplay between Utility and Risk in Portfolio Selection
Leonardo Baggiani, Martin Herdegen, Nazem Khan
We revisit the problem of portfolio selection, where an investor maximizes utility subject to a risk constraint. Our framework is very general and accommodates a wide range of util…
Optimal Dynamic Fees in Automated Market Makers
Leonardo Baggiani, Martin Herdegen, Leandro Sánchez-Betancourt
Automated Market Makers (AMMs) are emerging as a popular decentralised trading platform. In this work, we determine the optimal dynamic fees in a constant function market maker. We…
Existence and uniqueness of quadratic and linear mean-variance equilibria in general semimartingale markets
Christoph Czichowsky, Martin Herdegen, David Martins
We revisit the classical topic of quadratic and linear mean-variance equilibria with both financial and real assets. The novelty of our results is that they are the first allowing…
Market Making with Exogenous Competition
Robert Boyce, Martin Herdegen, Leandro Sánchez-Betancourt
We study liquidity provision in the presence of exogenous competition. We consider a `reference market maker' who monitors her inventory and the aggregated inventory of the competi…
Risk, utility and sensitivity to large losses
Martin Herdegen, Nazem Khan, Cosimo Munari
Risk and utility functionals are fundamental building blocks in economics and finance. In this paper we investigate under which conditions a risk or utility functional is sensitive…
Portfolio Optimization under Transaction Costs with Recursive Preferences
Martin Herdegen, David Hobson, Alex S. L. Tse
The Merton investment-consumption problem is fundamental, both in the field of finance, and in stochastic control. An important extension of the problem adds transaction costs, whi…
An elementary proof of the dual representation of Expected Shortfall
Martin Herdegen, Cosimo Munari
We provide an elementary proof of the dual representation of Expected Shortfall on the space of integrable random variables over a general probability space. Unlike the results in…
Model-based gym environments for limit order book trading
Joseph Jerome, Leandro Sanchez-Betancourt, Rahul Savani +1
Within the mathematical finance literature there is a rich catalogue of mathematical models for studying algorithmic trading problems -- such as market-making and optimal execution…
Vague and weak convergence of signed measures
Martin Herdegen, Gechun Liang, Osian Shelley
Necessary and sufficient conditions for weak and vague convergence of measures are important for a diverse host of applications. This paper aims to give a comprehensive description…
A continuity theorem for generalised signed measures with an application to Karamata's Tauberian theorem
Martin Herdegen, Gechun Liang, Osian Shelley
The Laplace transforms of positive measures on converge if and only if their distribution functions converge at continuity points of the limiting measure. We exten…