From the 1 of 5 linked papers with an AI index.
5 papers
Multi-Asset Liquidation in Dark Pools with Adverse Selection
Guanxing Fu, Johannes Ruf, Xiaomin Shi +1
The paper studies how to optimally liquidate a multi‑asset portfolio in dark pools when trades face quadratic adverse‑selection costs, using a multidimensional stochastic control f…
Cash-invariant hull representation of divergence preferences
AleÅ¡ Äerný, Johannes Ruf, Martin Schweizer
Uniformly weighted divergence preferences (UWDP) introduced in Maccheroni et al. (2006) are an important class of risk-averse preferences that contain as a special case the monoton…
On the integrability of the supremum of stochastic volatility models and other martingales
Stefan Gerhold, Julian Pachschwöll, Johannes Ruf
We propose a method to bound the expectation of the supremum of the price process in stochastic volatility models. It can be applied, for example, to the rough Bergomi model, avoid…
Dynamically optimal portfolios for monotone mean--variance preferences
AleÅ¡ Äerný, Johannes Ruf, Martin Schweizer
Monotone mean-variance (MMV) utility is the minimal modification of the classical Markowitz utility that respects rational ordering of investment opportunities. This paper provides…
Concentration inequalities for strong laws and laws of the iterated logarithm
Johannes Ruf, Ian Waudby-Smith
We derive concentration inequalities for sums of independent and identically distributed random variables that yield non-asymptotic generalizations of several strong laws of large…