Discrete‐time risk sensitive portfolio optimization with proportional transaction costs
M Pitera, Ł Stettner - Mathematical Finance, 2023 - Wiley Online Library
In this paper we consider a discrete‐time risk sensitive portfolio optimization over a long time
horizon with proportional transaction costs. We show that within the log‐return iid framework …
horizon with proportional transaction costs. We show that within the log‐return iid framework …
Data-driven non-parametric robust control under dependence uncertainty
E Bayraktar, T Chen - Peter Carr Gedenkschrift: Research Advances …, 2024 - World Scientific
We consider a multi-period stochastic control problem where the multivariate driving
stochastic factor of the system has known marginal distributions but uncertain dependence …
stochastic factor of the system has known marginal distributions but uncertain dependence …
Equilibrium control theory for Kihlstrom-Mirman preferences in continuous time
In intertemporal settings, the multiattribute utility theory of Kihlstrom and Mirman suggests
the application of a concave transform of the lifetime utility index. This construction, while …
the application of a concave transform of the lifetime utility index. This construction, while …
Nonparametric adaptive bayesian stochastic control under model uncertainty
T Chen, J Myung - arXiv preprint arXiv:2011.04804, 2020 - arxiv.org
In this paper we propose a new methodology for solving a discrete time stochastic
Markovian control problem under model uncertainty. By utilizing the Dirichlet process, we …
Markovian control problem under model uncertainty. By utilizing the Dirichlet process, we …