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[CT175]

Session Time & Room : 3C (Aug.23, 13:20-15:00) @A510
Type : Contributed Talk
Abstract : We discuss a continuous-time portfolio optimization problem to beat a stochastic benchmark. In addition to plain equities, the proposed model is suitable to include fixed-income securities. In the proposed economy, the dynamics of assets and economic factors are described by non-linear stochastic differential equations, which make the model vast to account for various interest rate models. We prove the existence and uniqueness of optimal investment strategies for finite and infinite planning horizons.
Classification : 91G10, 91G30, 91G15, 60G65, 35Q93
Format : Talk at Waseda University
Author(s) :
- Mayank Goel (Birla Institute of Technology and Science Pilani)
- Ravi Shankar (Birla Institute of Technology and Science Pilani)

Session Time & Room : 3C (Aug.23, 13:20-15:00) @A510
Type : Contributed Talk
Abstract : An optimal market-making strategy for a high-frequency market maker under a discrete-time Limit Order Book model is presented. Interestingly, the optimal market-making strategy adapts to the past arrivals of market orders, making it adapted to previous market information. Admissibility and optimality of the optimal strategy are also proved. Finally, we test our assumptions empirically and compare the optimal strategy to one used under a non-adaptive framework where only the “average” past information is considered.
Classification : 91G15, 93E20, 91B70, 91G30, 49J55
Format : Talk at Waseda University
Author(s) :
- Jonathan Allan Chávez Casillas (University of Rhode Island)
- José Enrique Figueroa López (Washington University in St. Louis)
- Chuyi Yu (Washington University in St. Louis)
- Yi Zhang (University of Illinois Urbana-Champaign)

Session Time & Room : 3C (Aug.23, 13:20-15:00) @A510
Type : Contributed Talk
Abstract : This paper promotes a housing choice problem with a loan-to-value ratio by an extended dynamic programming approach. Before purchasing a house, an individual agent rents a house to live in. After purchasing a house, the agent owns a house and uses it as collateral for borrowing. One main contribution is that the loan-to-value ratio has positive effects on an individual agent's decisions both before and after the time of purchasing a house. We find that an individual agent with a higher loan-to-value ratio delays the time to buy a house and purchases a larger house. We provide closed-form solutions for each optimal policy. We also demonstrate the solutions numerically and discuss the economic implications.
Classification : 91G10
Format : Talk at Waseda University
Author(s) :
- Qi Li (Pusan National University)
- Seryoong Ahn (Pukyong National University)
- Ji-Hun Yoon (Pusan National University)

Session Time & Room : 3C (Aug.23, 13:20-15:00) @A510
Type : Contributed Talk
Abstract : A Risk Parity Portfolio allocates capital thus each asset contributes the same amount of risk to the entire portfolio. In this paper, we conduct an empirical study of Risk Parity Portfolio with Gaussian Multivariate Mixture-Based Clustering based on financial ratio data. The daily closing price data of LQ45 index stocks listed on the Indonesia Stock Exchange were employed. The performance of the Risk Parity Portfolio outperformed the Tangency Portfolio in the COVID-19 era.
Classification : 91G10, 91G80
Format : Online Talk on Zoom
Author(s) :
- Rosita Kusumawati (Mathematics Department, Mathematics and Natural Sciences Faculty, Universitas Gadjah Mada)
- Dedi Rosadi (Mathematics Department, Mathematics and Natural Sciences Faculty, Universitas Gadjah Mada)
- Abdurakhman Abdurakhman (Mathematics Department, Mathematics and Natural Sciences Faculty, Universitas Gadjah Mada)

Session Time & Room : 3C (Aug.23, 13:20-15:00) @A510
Type : Industrial Contributed Talk
Abstract : In investing, investors have several characteristics, namely risk averse, risk seeker, and risk indifferent. Differences in these characteristics lead to the preparation of an optimal portfolio in decision-making. This study analyzes the application of the Treynor ratio as an instrument to measure portfolio performance. Portfolio preparation uses a fuzzy approach. The process of optimizing the model by applying multiobjective. The results of this study are the portfolio Treynor index ratio formed against the characteristics for the three characteristics of investors. This is used for investor recommendations in determining investment decisions.
Classification : 91G10, 91G80
Format : Online Talk on Zoom
Author(s) :
- Padrul Jana (Universitas Gadjah Mada)
- Dedi Rosadi (Universitas Gadjah Mada)
- Epha Diana Supandi (Universitas Islam Negeri Sunan Kalijaga)