Related papers: One-Dimensional Pricing of CPPI
We propose a scalable, policy-centric framework for continuous-time multi-asset portfolio-consumption optimization under inequality constraints. Our method integrates neural policies with Pontryagin's Maximum Principle (PMP) and enforces…
In this work, we study the problem of actively classifying the attributes of dynamical systems characterized as a finite set of Markov decision process (MDP) models. We are interested in finding strategies that actively interact with the…
This paper proposes an iterative distributionally robust model predictive control (MPC) scheme to solve a risk-constrained infinite-horizon optimal control problem. In each iteration, the algorithm generates a trajectory from the starting…
Variable Annuity (VA) products expose insurance companies to considerable risk because of the guarantees they provide to buyers of these products. Managing and hedging these risks requires insurers to find the value of key risk metrics for…
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 i.i.d. framework the solution to a suitable Bellman equation…
This paper proposes Constrained Sampling Cluster Model Predictive Path Integral (CSC-MPPI), a novel constrained formulation of MPPI designed to enhance trajectory optimization while enforcing strict constraints on system states and control…
We develop a methodology for index tracking and risk exposure control using financial derivatives. Under a continuous-time diffusion framework for price evolution, we present a pathwise approach to construct dynamic portfolios of…
Parametric Portfolio Policies (PPP) estimate optimal portfolio weights directly as functions of observable signals by maximizing expected utility, bypassing the need to model asset returns and covariances. However, PPP ignores policy risk.…
We investigate the quantification of demographic risk in a framework consistent with the market-consistent valuation imposed by Solvency II. We provide compact formulas for evaluating inflows and outflows of a portfolio of insurance…
We generalize the derivation of model predictive path integral control (MPPI) to allow for a single joint distribution across controls in the control sequence. This reformation allows for the implementation of adaptive importance sampling…
This paper initiates a study into the century-old issue of market predictability from the perspective of computational complexity. We develop a simple agent-based model for a stock market where the agents are traders equipped with simple…
Markov chains play a key role in a vast number of areas, including life insurance mathematics. Standard actuarial quantities as the premium value can be interpreted as compressed, lossy information about the underlying Markov process. We…
This study introduces a dynamic investment framework to enhance portfolio management in volatile markets, offering clear advantages over traditional static strategies. Evaluates four conventional approaches : equal weighted, minimum…
The aim of this paper is to study the optimal investment problem by using coherent acceptability indices (CAIs) as a tool to measure the portfolio performance. We call this problem the acceptability maximization. First, we study the…
This paper develops a mathematical framework for the analysis of continuous-time trading strategies which, in contrast to the classical setting of continuous-time mathematical finance, does not rely on stochastic integrals or other…
In this work, I address the issue of forming riskless hedge in the continuous time option pricing model with stochastic stock volatility. I show that it is essential to verify whether the replicating portfolio is self-financing, in order…
Modern portfolio theory(MPT) addresses the problem of determining the optimum allocation of investment resources among a set of candidate assets. In the original mean-variance approach of Markowitz, volatility is taken as a proxy for risk,…
Among professionals and academics alike, it is well known that active portfolio management is unable to provide additional risk-adjusted returns relative to their benchmarks. For this reason, passive wealth management has emerged in recent…
This paper deals with discrete-time Markov control processes on a general state space. A long-run risk-sensitive average cost criterion is used as a performance measure. The one-step cost function is nonnegative and possibly unbounded.…
Recent theoretical results establish that time-consistent valuations (i.e. pricing operators) can be created by backward iteration of one-period valuations. In this paper we investigate the continuous-time limits of well-known actuarial…