Portfolio optimization for a large investor under partial information and price impact

This paper studies portfolio optimization problems in a market with partial information and price impact. We consider a large investor with an objective of expected utility maximization from terminal wealth. The drift of the underlying price process is modeled as a diffusion affected by a continuous-time Markov chain and the actions of the large investor. Using the stochastic filtering theory, we reduce the optimal control problem under partial information to the one with complete observation. For logarithmic and power utility cases we solve the utility maximization problem explicitly and we obtain optimal investment strategies in the feedback form. We compare the value functions to those for the case without price impact in Bäuerle and Rieder (IEEE Trans Autom Control 49(3):442–447, 2004) and Bäuerle and Rieder (J Appl Prob 362–378, 2005). It turns out that the investor would be better off due to the presence of a price impact both in complete-information and partial-information settings. Moreover, the presence of the price impact results in a shift, which depends on the distance to final time and on the state of the filter, on the optimal control strategy.     

The greedy coloring is a bad probabilistic algorithm

Given a graph G and an ordering p of its vertices, denote by A(G, p) the number of colors used by the greedy coloring algorithm when applied to G with vertices ordered by p. Let , , Δ be positive constants. It is proved that for each n there is a graph G_n such that the chromatic number of G_n is at most n, but the probability that A(G_n, p) < (1 − )n/log₂ n for a randomly chosen ordering p is O(n^−Δ).     

Half Dirichlet problem for matrix functions on the unit ball in Hermitian Clifford analysis

The simultaneous null solutions of the two complex Hermitian Dirac operators are focused on in Hermitian Clifford analysis, where the Hermitian Cauchy integral was constructed and will play an important role in the framework of circulant (2×2) matrix functions. Under this setting we will present the half Dirichlet problem for circulant (2×2) matrix functions on the unit ball of even dimensional Euclidean space. We will give the unique solution to it merely by using the Hermitian Cauchy transformation, get the solution to the Dirichlet problem on the unit ball for circulant (2×2) matrix functions and the solution to the classical Dirichlet problem as the special case, derive a decomposition of the Poisson kernel for matrix Laplace operator, and further obtain the decomposition theorems of solution space to the Dirichlet problem for circulant (2×2) matrix functions.     

Single periodic Riemann problems for null-solutions to polynomially Cauchy–Riemann equations

In this paper, we focus on single periodic Riemann problems for a class of meta-analytic functions, i.e. null-solutions to polynomially Cauchy–Riemann equation. We first establish decomposition theorems for single periodic meta-analytic functions. Then, we give a series expansion of single periodic meta-analytic functions, and derive generalised Liouville theorems for them. Next, we introduce a definition of order for single periodic meta-analytic functions at infinity, and characterise their growth at infinity. Finally, applying the decomposition theorem for single periodic meta-analytic functions, we get explicit expressions of solutions and condition of solvability to Riemann problems for single periodic meta-analytic functions with a finite order at infinity.     

Semiclassical <Emphasis Type="Italic">L</Emphasis><Superscript><Emphasis Type="Italic">p</Emphasis></Superscript> Estimates

The purpose of this paper is to use semiclassical analysis to unify and generalize L ^p estimates on high energy eigenfunctions and spectral clusters. In our approach these estimates do not depend on ellipticity and order, and apply to operators which are selfadjoint only at the principal level. They are estimates on weakly approximate solutions to semiclassical pseudodifferential equations. Submitted: May 11, 2006. Accepted: September 19, 2006.     

Randomized stopping games and Markov market games

We study nonzero-sum stopping games with randomized stopping strategies. The existence of Nash equilibrium and ɛ-equilibrium strategies are discussed under various assumptions on players random payoffs and utility functions dependent on the observed discrete time Markov process. Then we will present a model of a market game in which randomized stopping times are involved. The model is a mixture of a stochastic game and stopping game. Research supported by grant PBZ-KBN-016/P03/99.     

Coherent multiperiod risk adjusted values and Bellman’s principle

Starting with a time-0 coherent risk measure defined for “value processes”, we also define risk measurement processes. Two other constructions of measurement processes are given in terms of sets of test probabilities. These latter constructions are identical and are related to the former construction when the sets fulfill a stability condition also met in multiperiod treatment of ambiguity as in decision-making. We finally deduce risk measurements for the final value of locked-in positions and repeat a warning concerning Tail-Value-at-Risk.