Related papers: Robust mean-variance hedging in the single period …

In this paper, we provide a comprehensive review of recent advances in robust portfolio selection problems and their extensions, from both operational research and financial perspectives. A multi-dimensional classification of the models and…

We obtain a Lundberg-type inequality in the case of an inhomogeneous renewal risk model. We consider the model with independent, but not necessarily identically distributed, claim sizes and the interoccurrence times. In order to prove the…

Considering mean-variance portfolio problems with uncertain model parameters, we contrast the classical absolute robust optimization approach with the relative robust approach based on a maximum regret function. Although the latter problems…

We study robust estimators of the mean of a probability measure $P$, called robust empirical mean estimators. This elementary construction is then used to revisit a problem of aggregation and a problem of estimator selection, extending…

We consider the class of single machine scheduling problems with the objective to minimize the weighted number of late jobs, under the assumption that completion due-dates are not known precisely at the time when decision-maker must provide…

When we implement a portfolio selection methodology under a mean-risk formulation, it is essential to correctly model investors' risk aversion which may be time-dependent, or even state-dependent during the investment procedure. In this…

This paper studies robust time-inconsistent (TIC) linear-quadratic stochastic control problems, formulated by stochastic differential games. By a spike variation approach, we derive sufficient conditions for achieving the Nash equilibrium,…

We examine the problem of dynamic reserving for risk in multiple currencies under a general coherent risk measure. The reserver requires to hedge risk in a time-consistent manner by trading in baskets of currencies. We show that reserving…

A quadratic discrete time probabilistic model, for optimal portfolio selection in (re-)insurance is studied. For positive values of underwriting levels, the expected value of the accumulated result is optimized, under constraints on its…

This paper studies an optimal investment-reinsurance problem for an insurer (she) under the Cram\'er--Lundberg model with monotone mean--variance (MMV) criterion. At any time, the insurer can purchase reinsurance (or acquire new business)…

We present an actor-critic-type reinforcement learning algorithm for solving the problem of hedging a portfolio of financial instruments such as securities and over-the-counter derivatives using purely historic data. The key characteristics…

We consider the robust version of items selection problem, in which the goal is to choose representatives from a family of sets, preserving constraints on the allowed items' combinations. We prove NP-hardness of the deterministic version,…

We consider inference in linear regression models that is robust to heteroskedasticity and the presence of many control variables. When the number of control variables increases at the same rate as the sample size the usual…

Consider a singularly perturbed convection-diffusion problem with small, variable diffusion. Based on certain a priori estimates for the solution we prove robustness of a finite element method on a Duran-Shishkin mesh.

We consider portfolio selection when decisions based on a dynamic risk measure are affected by the use of a moving horizon, and the possible inconsistencies that this creates. By giving a formal treatment of time consistency which is…

This paper is concerned with the uniqueness issue of open-loop equilibrium investment strategies of dynamic mean-variance portfolio selection problems with random coefficients. A unified method is developed to treat both the problems with…

This paper concerns the continuous time mean-variance portfolio selection problem with a special nonlinear wealth equation. This nonlinear wealth equation has a nonsmooth coefficient and the dual method developed in [6] does not work. We…

We consider the problem of hedging a European contingent claim in a Bachelier model with transient price impact as proposed by Almgren and Chriss. Following the approach of Rogers and Singh and Naujokat and Westray, the hedging problem can…

In this paper, we consider the problem of estimating parameters of a linear regression model. Using a hybrid systems framework, a hybrid algorithm is proposed allowing the estimate to converge to the exact value of the unknown parameters in…

The inflated beta regression model is widely used for modeling continuous proportions with values at the boundaries. Maximum likelihood estimation for these models is well-known for its sensitivity to outliers, which can severely distort…