Huang Yu-Xing : jardin des révolutionnaires

Outperforming the Market Portfolio with a given Probability by Erhan Bayraktar1, Yu-jui Huang

Our goal is to resolve a problem proposed by Fernholz and Karatzas [On optimal arbitrage (2008) Columbia Univ.]: to characterize the minimum amount of initial capital with which an investor can beat the market portfolio with a certain probability, as a function of the market configuration and time to maturity. We show that this value function is the smallest nonnegative viscosity supersolution ...

Proposal Author : Yeo Huang - Yu Daren Title : Commitment Machines for Agent Flexible Interaction

Protocols are structured interactions among communicating agents. The use of protocols includes applications such as e-commerce where it is necessary to regulate the message exchange of autonomous agents. However, traditional representations of protocols such as Finite State Machines (FSM) or Petris Nets model interaction between agents as specified legal sequences of actions. Communication can...

Robust Maximization of Asymptotic Growth under Covariance Uncertainty by Erhan Bayraktar1 and Yu-jui Huang

This paper resolves a question proposed in Kardaras and Robertson [Ann. Appl. Probab. 22 (2012) 1576–1610]: how to invest in a robust growthoptimal way in a market where precise knowledge of the covariance structure of the underlying assets is unavailable. Among an appropriate class of admissible covariance structures, we characterize the optimal trading strategy in terms of a generalized versi...

"Il Faut Cultiver Notre Jardin"

“T I drew, using a mirror; it is my own likeness, in the year 1484, when I was still a child,” wrote Albrecht Dürer about his first self-portrait, sketched with great confidence and skill when he was 13 years old (1). Fascinated by his own image, he continued to paint it throughout his life. His faithful dog once barked and wagged its tail at a newly completed self-portrait of his master, relat...

Éditorial: Famille, jardin, orthoptère et Goldbach