A cardinality-constrained portfolio caps the number of stocks to be traded across and within groups or sectors. These limitations arise from real-world scenarios faced by fund managers, who are constrained by transaction costs and client preferences as they seek to maximize return and limit...

An optimization approach is proposed to construct sparse portfolios with mean-reverting price behaviors. Our objectives are threefold: (i) design a multi-asset long-short portfolio that best fits an Ornstein-Uhlenbeck process in terms of maximum likelihood, (ii) select portfolios with desirable...

We study an option pricing framework that accounts for the price impact of an earnings announcement (EA), and analyze the behavior of the implied volatility surface prior to the event. On the announcement date, we incorporate a random jump to the stock price to represent the shock due to...

The growth of the exhange-traded fund (ETF) industry has given rise to the trading of options written on ETFs and their leveraged counterparts {(LETFs)}. We study the relationship between the ETF and LETF implied volatility surfaces when the underlying ETF is modeled by a general class of...

The energy and material processing industries are traditionally characterized by very large-scale physical capital that is custom-built with long lead times and long lifetimes. However, recent technological advancement in low-cost automation has made possible the parallel operation of large...

This paper analyzes the problem of starting and stopping a Cox-Ingersoll-Ross (CIR) process with fixed costs. In addition, we also study a related optimal switching problem that involves an infinite sequence of starts and stops. We establish the conditions under which the starting-stopping and...