Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach

H Pham, X Wei, C Zhou - Mathematical Finance, 2022 - Wiley Online Library
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 …

Adaptive robust control under model uncertainty

TR Bielecki, T Chen, I Cialenco, A Cousin… - SIAM Journal on Control …, 2019 - SIAM
In this paper we propose a new methodology for solving an uncertain stochastic Markovian
control problem in discrete time. We call the proposed methodology the adaptive robust …

Online drift estimation for jump-diffusion processes

T Bhudisaksang, Á Cartea - Bernoulli, 2021 - projecteuclid.org
The supplementary material in [2] contains three sections. The first section proposes an
alternative SGDCT estimator that employs the continuous part of the process X to estimate …

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 …

A machine learning approach to adaptive robust utility maximization and hedging

T Chen, M Ludkovski - SIAM Journal on Financial Mathematics, 2021 - SIAM
We investigate the adaptive robust control framework for portfolio optimization and loss-
based hedging under drift and volatility uncertainty. Adaptive robust problems offer many …

Nonparametric adaptive robust control under model uncertainty

E Bayraktar, T Chen - SIAM Journal on Control and Optimization, 2023 - SIAM
We consider a discrete time stochastic Markovian control problem under model uncertainty.
Such uncertainty comes not only from the fact that the true probability law of the underlying …

Adaptive robust control in continuous time

T Bhudisaksang, A Cartea - SIAM Journal on Control and Optimization, 2021 - SIAM
We propose a continuous-time version of the adaptive robust methodology introduced in TR
Bielecki et al.[SIAM J. Control Optim., 57 (2019), pp. 925--946]. An agent solves a stochastic …

Uncertainty and filtering of hidden Markov models in discrete time

SN Cohen - Probability, Uncertainty and Quantitative Risk, 2020 - Springer
We consider the problem of filtering an unseen Markov chain from noisy observations, in the
presence of uncertainty regarding the parameters of the processes involved. Using the …

Gittins' theorem under uncertainty

SN Cohen, T Treetanthiploet - Electronic Journal of Probability, 2022 - projecteuclid.org
We study dynamic allocation problems for discrete time multi-armed bandits under
uncertainty, based on the the theory of nonlinear expectations. We show that, under …

Risk-sensitive Markov decision problems under model uncertainty: finite time horizon case

TR Bielecki, T Chen, I Cialenco - … Volume to Honor Mark HA Davis's …, 2022 - Springer
In this paper we study a class of risk-sensitive Markovian control problems in discrete time
subject to model uncertainty. We consider a risk-sensitive discounted cost criterion with finite …