Related papers: Optimal partial hedging in a discrete-time market …
In this work we consider the exponential utility maximization problem in the framework of semistatic hedging.
We investigate upper and lower hedging prices of multivariate contingent claims from the viewpoint of game-theoretic probability and submodularity. By considering a game between "Market" and "Investor" in discrete time, the pricing problem…
We investigate pricing-hedging duality for American options in discrete time financial models where some assets are traded dynamically and others, e.g. a family of European options, only statically. In the first part of the paper we…
In this paper we study a risk-minimizing hedging problem for a semimartingale incomplete financial market where d+1 assets are traded continuously and whose price is expressed in units of the num\'{e}raire portfolio. According to the…
The aim of this short note is to present a solution to the discrete time exponential utility maximization problem in a case where the underlying asset has a multivariate normal distribution. In addition to the usual setting considered in…
The paper studies problem of continuous time optimal portfolio selection for a incom- plete market diffusion model. It is shown that, under some mild conditions, near optimal strategies for investors with different performance criteria can…
Quality diversity (QD) algorithms have been shown to be very successful when dealing with problems in areas such as robotics, games and combinatorial optimization. They aim to maximize the quality of solutions for different regions of the…
The usual theory of asset pricing in finance assumes that the financial strategies, i.e. the quantity of risky assets to invest, are real-valued so that they are not integer-valued in general, see the Black and Scholes model for instance.…
In this paper we study the existence of an optimal hedging strategy for the shortfall risk measure in the game options setup. We consider the continuous time Black--Scholes (BS) model. Our first result says that in the case where the game…
In incomplete financial markets not every contingent claim can be replicated by a self-financing strategy. The risk of the resulting shortfall can be measured by convex risk measures, recently introduced by F\"ollmer, Schied (2002). The…
We study the knapsack problem with group fairness constraints. The input of the problem consists of a knapsack of bounded capacity and a set of items, each item belongs to a particular category and has and associated weight and value. The…
This paper investigates a continuous-time portfolio optimization problem with the following features: (i) a no-short selling constraint; (ii) a leverage constraint, that is, an upper limit for the sum of portfolio weights; and (iii) a…
We consider an original problem that arises from the issue of security analysis of a power system and that we name optimal discovery with probabilistic expert advice. We address it with an algorithm based on the optimistic paradigm and on…
We study the assortment optimization problem under general linear constraints, where the customer choice behavior is captured by the Cross-Nested Logit model. In this problem, there is a set of products organized into multiple subsets (or…
This paper studies the problem of steering the distribution of a discrete-time dynamical system from an initial distribution to a target distribution in finite time. The formulation is fully nonlinear, allowing the use of general control…
Evolutionary multi-objective algorithms have been widely shown to be successful when utilized for a variety of stochastic combinatorial optimization problems. Chance constrained optimization plays an important role in complex real-world…
We study the optimal liquidation problem in a market model where the bid price follows a geometric pure jump process whose local characteristics are driven by an unobservable finite-state Markov chain and by the liquidation rate. This model…
In this paper we consider the problem of minimising drawdown in a portfolio of financial assets. Here drawdown represents the relative opportunity cost of the single best missed trading opportunity over a specified time period. We formulate…
We consider the chance-constrained binary knapsack problem (CKP), where the item weights are independent and normally distributed. We introduce a continuous relaxation for the CKP, represented as a non-convex optimization problem, which we…
The article presents an approach to interactively solve multi-objective optimization problems. While the identification of efficient solutions is supported by computational intelligence techniques on the basis of local search, the search is…