Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach
This paper focuses on a dynamic multi‐asset mean‐variance portfolio selection problem
under model uncertainty. We develop a continuous time framework for taking into account …
under model uncertainty. We develop a continuous time framework for taking into account …
Distributionally robust Markov decision processes and their connection to risk measures
N Bäuerle, A Glauner - Mathematics of Operations Research, 2022 - pubsonline.informs.org
We consider robust Markov decision processes with Borel state and action spaces,
unbounded cost, and finite time horizon. Our formulation leads to a Stackelberg game …
unbounded cost, and finite time horizon. Our formulation leads to a Stackelberg game …
Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets
We consider the optimal investment and marginal utility pricing problem of a risk averse
agent and quantify their exposure to model uncertainty. Specifically, we compute explicitly …
agent and quantify their exposure to model uncertainty. Specifically, we compute explicitly …
Nonparametric learning for impulse control problems—Exploration vs. exploitation
S Christensen, C Strauch - The Annals of Applied Probability, 2023 - projecteuclid.org
One of the fundamental assumptions in stochastic control of continuous time processes is
that the dynamics of the underlying (diffusion) process is known. This is, however, usually …
that the dynamics of the underlying (diffusion) process is known. This is, however, usually …
Forward robust portfolio selection: The binomial case
H Waldon - Probability, Uncertainty and Quantitative Risk, 2024 - aimsciences.org
We introduce a new approach for optimal portfolio choice under model ambiguity by
incorporating predictable forward preferences in the framework of Angoshtari et al.[2]. The …
incorporating predictable forward preferences in the framework of Angoshtari et al.[2]. The …
Parameter estimation and an extended predictive-based tuning method for a lab-scale distillation column
The present study proposes a new PI controller tuning method using extended predictive
control (EPC). The PI controller parameter values are calculated using the EPC controller …
control (EPC). The PI controller parameter values are calculated using the EPC controller …
Long-run risk-sensitive impulse control
In this paper we consider long-run risk-sensitive average cost impulse control applied to a
continuous-time Feller--Markov process. Using the probabilistic approach, we show how to …
continuous-time Feller--Markov process. Using the probabilistic approach, we show how to …
Contract theory in a VUCA world
N Hernandez-Santibanez, T Mastrolia - SIAM Journal on Control and …, 2019 - SIAM
In this paper we investigate a Principal-Agent problem with moral hazard under Knightian
uncertainty. We extend the seminal framework of Holmström and Milgrom by combining a …
uncertainty. We extend the seminal framework of Holmström and Milgrom by combining a …
Recursive construction of confidence regions
Assuming that one-step transition kernel of a discrete time, time-homogenous Markov chain
model is parameterized by a parameter θ∈Θ, we derive a recursive (in time) construction of …
model is parameterized by a parameter θ∈Θ, we derive a recursive (in time) construction of …
On parametric optimal execution and machine learning surrogates
We investigate optimal order execution problems in discrete time with instantaneous price
impact and stochastic resilience. First, in the setting of linear transient price impact we derive …
impact and stochastic resilience. First, in the setting of linear transient price impact we derive …