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q-fin.CP2026
Multiperiod bond portfolio optimization with transaction costs using a Markov Decision process
Balaji Ramachandran, Srikanth Iyer, Shashi Jain
Bank treasury portfolios must balance yield, liquidity, and interest-rate risk across bonds of different maturities. Static allocation rules are ill-suited to this task: portfolios…
q-fin.ST2026
Recovering Structural Organization in Noisy Correlation Networks Using Financial Systems as a Testbed
Imran Ansari, Shashi Jain, Srikanth K. Iyer
Empirical correlation matrices estimated from financial return time series are contaminated by statistical noise arising from finite sample size, obscuring genuine interactions amo…