The rise in the cryptocurrency market has led many individuals to start their investment.
However, individuals are affected by several factors in their decision-making process to …

This study presents big data applications with quantitative theoretical models in financial
management and investigates possible incorporation of social media factors into the …

This paper investigates an equilibrium-based multi-agent optimal consumption and portfolio
problem incorporating uncertainties on fundamental risks, where multiple agents have …

Developing and applying new artificial intelligence (AI) techniques in finance has become
popular and one of the growing areas. Although many studies focus on return prediction and …

This paper provides a time series analysis of the Bank of Japan (BOJ)'s exchange traded
fund (ETF) and real estate investment trust (REIT) purchase program. The program is a part …

This paper considers a new problem for portfolio optimization with a choice of a probability
measure, particularly optimal investment problem under sentiments. Firstly, we formulate the …

This paper proposes a novel state-space approach to explain stock market dynamics driven
by different types of trading, which leads to a new promising scheme for proactive risk …

This paper considers a multi-agent optimal investment problem with conservative sentiments
in an incomplete market by a BSDE approach. Particularly, we formulate the conservative …

This paper considers a multi-agent optimal investment problem with conservative,
aggressive, or neutral sentiments in an incomplete market by a BSDE approach. Particularly …

The rise in the cryptocurrency market has led many individuals to start their investment.
However, individuals are affected by several factors in their decision-making process to …