Optimal stock portfolio diversification under market constraints

Optimal Market Dealing Under Constraints

We consider a market dealer acting as a liquidity provider by continuously setting bid and ask prices for an illiquid asset in a quote-driven market. The market dealer may benefit from the bid-ask spread but has the obligation to permanently quote both prices while satisfying some liquidity and inventory constraints. The objective is to maximize the expected utility from terminal liquidation va...

Growth-Optimal Portfolio Selection under CVaR Constraints

Online portfolio selection research has so far focused mainly on minimizing regret defined in terms of wealth growth. Practical financial decision making, however, is deeply concerned with both wealth and risk. We consider online learning of portfolios of stocks whose prices are governed by arbitrary (unknown) stationary and ergodic processes, where the goal is to maximize wealth while keeping ...

Illiquidity, Portfolio Constraints, and Diversification *

Loan Portfolio Diversification, Market Structure and Financial Stability of Banks

 The purpose of this study is to investigate the effect of bank loan portfolio diversification and market structure on the financial stability of banks in the countrychr('39')s capital market. In order to achieve the above goal, the financial data of 17 banks have been used as unbalanced panels in the period from 2005 to 2018. In this study, data analysis was performed using fixed effects model...

Optimal market making strategies under inventory constraints

We study the problem of a market-maker acting as a liquidity provider by continuously setting bid and ask prices for an illiquid asset. We assume that the market maker has a contractual obligation to permanently quote bid and ask prices for the security and therefore to satisfy any sell or buy order from the asset’s investors. On the opposite side of the trades, there are investors who act as l...