We consider the position of a member of a defined contribution (DC) pension scheme having the possibility of taking programmed withdrawals at retirement. According to this option, she can defer annuitization of her fund to a propitious future time, that can be found to be optimal according to some criteria. This option, that adds remarkable flexibility in the choice of pension benefits, is not ...

Financial trading is one of the most popular problems for reinforcement learning in recent years. One important challenges that investment a multi-objective problem. That is, professional investors do not act solely on expected profi t but also carefully consider potential risk given investment. To handle such challenge, previous studies have explored various kinds risk-sensitive rewards, examp...

Portfolio optimization is highly valued and used by many people in the financial field. This paper analyzes asset portfolio allocation of different industries, namely, transportation industry, software semiconductor insurance industry. selected four representative assets from these then mean-variance combination model to analyze forecast return on investment. In order find optimal proportion in...

In this paper we show that a Kelly trader is indifferent to trade derivative if and only the no-arbitrage price uniquely given by minimal martingale measure price, thus providing natural selection mechanism for option pricing in incomplete markets. We also unique indifference results market equilibrium sense no can improve magnitude of his instantaneous Sharpe ratio, trading derivative, actions...

This paper investigates performance attribution measures as a basis for constraining portfolio optimization. We employ optimizations that minimize conditional value-at-risk and investigate two attributes, asset allocation (AA) the selection effect (SE), constraints on weights. The test consists of stocks from Dow Jones Industrial Average index. Values attributes are established relative to benc...