2 citations · 2 across the 4 of their papers we have counts for
4 papers · 1 filter
Minimizing Benchmark-Relative Drawdown Duration via Occupation Time Penalization
Jun Sekine, Marcus Wunsch
We study a continuous-time portfolio optimization problem in which an investor is evaluated relative to a non-replicable benchmark and seeks to control the persistence of benchmark…
Model-free Hedging of Impermanent Loss in Geometric Mean Market Makers
Masaaki Fukasawa, Basile Maire, Marcus Wunsch
We consider Geometric Mean Market Makers -- a special type of Decentralized Exchange -- with two types of users: liquidity takers and arbitrageurs. Liquidity takers trade at prices…
Deep Partial Hedging
Songyan Hou, Thomas Krabichler, Marcus Wunsch
Using techniques from deep learning (cf. [Büh+19]), we show that neural networks can be trained successfully to replicate the modified payoff functions that were first derived in t…
Hedging Goals
Thomas Krabichler, Marcus Wunsch
Goal-based investing is concerned with reaching a monetary investment goal by a given finite deadline, which differs from mean-variance optimization in modern portfolio theory. In…