Market models with optimal arbitrage

We construct and study market models admitting optimal arbitrage. We say that a model admits optimal arbitrage if it is possible, in a zero-interest rate setting, starting with an initial wealth of 1 and using only positive portfolios, to superreplicate a constant c>1. The optimal arbitrage strategy is the strategy for which this constant has the highest possible value. Our definition of optimal arbitrage is similar to the one in Fernholz and Karatzas (2010), where optimal relative arbitrage with respect to the market portfolio is studied. In this work we present a systematic method to construct market models where the optimal arbitrage strategy exists and is known explicitly. We then develop several new examples of market models with arbitrage, which are based on economic agents' views concerning the impossibility of certain events rather than ad hoc constructions. We also explore the concept of fragility of arbitrage introduced in Guasoni and Rasonyi (2012), and provide new examples of arbitrage models which are not fragile in this sense

Robust utility maximization in markets with transaction costs

We consider a continuous-time market with proportional transaction costs. Under appropriate assumptions we prove the existence of optimal strategies for investors who maximize their worst-case utility over a class of possible models. We consider utility functions defined either on the positive axis or on the whole real line

Optimal investment with intermediate consumption under no unbounded profit with bounded risk

We consider the problem of optimal investment with intermediate consumption in a general semimartingale model of an incomplete market, with preferences being represented by a utility stochastic field. We show that the key conclusions of the utility maximization theory hold under the assumptions of no unbounded profit with bounded risk (NUPBR) and of the finiteness of both primal and dual value functions.Comment: 10 pages, revised version, to appear in the Applied Probability Journal

On fixed gain recursive estimators with discontinuity in the parameters

In this paper we estimate the tracking error of a fixed gain stochastic approximation scheme. The underlying process is not assumed Markovian, a mixing condition is required instead. Furthermore, the updating function may be discontinuous in the parameter.Comment: Thoroughly revised, Assumption 3.4 strengthene

Behavioural investors in conic market models

We treat a fairly broad class of financial models which includes markets with proportional transaction costs. We consider an investor with cumulative prospect theory preferences and a non-negativity constraint on portfolio wealth. The existence of an optimal strategy is shown in this context in a class of generalized strategies.Comment: arXiv admin note: text overlap with arXiv:1606.0731

The impact of albendazole treatment on the incidence of viral- and bacterial-induced diarrhea in school children in southern Vietnam: study protocol for a randomized controlled trial

Anthelmintics are one of the more commonly available classes of drugs to treat infections by parasitic helminths (especially nematodes) in the human intestinal tract. As a result of their cost-effectiveness, mass school-based deworming programs are becoming routine practice in developing countries. However, experimental and clinical evidence suggests that anthelmintic treatments may increase susceptibility to other gastrointestinal infections caused by bacteria, viruses, or protozoa. Hypothesizing that anthelmintics may increase diarrheal infections in treated children, we aim to evaluate the impact of anthelmintics on the incidence of diarrheal disease caused by viral and bacterial pathogens in school children in southern Vietnam.This is a randomized, double-blinded, placebo-controlled trial to investigate the effects of albendazole treatment versus placebo on the incidence of viral- and bacterial-induced diarrhea in 350 helminth-infected and 350 helminth-uninfected Vietnamese school children aged 6-15 years. Four hundred milligrams of albendazole, or placebo treatment will be administered once every 3 months for 12 months. At the end of 12 months, all participants will receive albendazole treatment. The primary endpoint of this study is the incidence of diarrheal disease assessed by 12 months of weekly active and passive case surveillance. Secondary endpoints include the prevalence and intensities of helminth, viral, and bacterial infections, alterations in host immunity and the gut microbiota with helminth and pathogen clearance, changes in mean z scores of body weight indices over time, and the number and severity of adverse events.In order to reduce helminth burdens, anthelmintics are being routinely administered to children in developing countries. However, the effects of anthelmintic treatment on susceptibility to other diseases, including diarrheal pathogens, remain unknown. It is important to monitor for unintended consequences of drug treatments in co-infected populations. In this trial, we will examine how anthelmintic treatment impacts host susceptibility to diarrheal infections, with the aim of informing deworming programs of any indirect effects of mass anthelmintic administrations on co-infecting enteric pathogens.ClinicalTrials.gov: NCT02597556 . Registered on 3 November 2015