Related papers: Optimal partial hedging in a discrete-time market …
This work presents an empirical analysis of exact algorithms for the unbounded knapsack problem, which includes seven algorithms from the literature, two commercial solvers, and more than ten thousand instances. The terminating step-off, a…
We consider the problem of option hedging in a market with proportional transaction costs. Since super-replication is very costly in such markets, we replace perfect hedging with an expected loss constraint. Asymptotic analysis for small…
In a market with a rough or Markovian mean-reverting stochastic volatility there is no perfect hedge. Here it is shown how various delta-type hedging strategies perform and can be evaluated in such markets in the case of European options. A…
This paper studies an optimal control problem for continuous-time stochastic systems subject to reachability objectives specified in a subclass of metric interval temporal logic specifications, a temporal logic with real-time constraints.…
Tiering is an essential technique for building large-scale information retrieval systems. While the selection of documents for high priority tiers critically impacts the efficiency of tiering, past work focuses on optimizing it with respect…
We consider the mean-variance hedging problem under partial Information. The underlying asset price process follows a continuous semimartingale and strategies have to be constructed when only part of the information in the market is…
Sharp asymptotic lower bounds of the expected quadratic variation of discretization error in stochastic integration are given. The theory relies on inequalities for the kurtosis and skewness of a general random variable which are themselves…
We study a class of infinite-horizon impulse control problems with execution delay in discrete time. Using probabilistic methods, particularly the notion of the Snell envelope of processes, we construct an optimal strategy among all…
The discretization of optimal transport problems often leads to large linear programs with sparse solutions. We derive error estimates for the approximation of the problem using convex combinations of Dirac measures and devise an active-set…
Quadratic hedging of option payoffs generates the variance optimal martingale measure. When an option features an exercise policy and its cash flows are hedged according to this approach, it may be tempting to optimize such a policy under…
This paper studies the multi-item newsvendor problem with a constrained budget and information about demand limited to its range, mean and mean absolute deviation. We consider a minimax model that determines order quantities by minimizing…
This paper introduces a family of learning-augmented algorithms for online knapsack problems that achieve near Pareto-optimal consistency-robustness trade-offs through a simple combination of trusted learning-augmented and worst-case…
In this paper, we address the stochastic representation problem in discrete time under (non-linear) g-expectation. We establish existence and uniqueness of the solution, as well as a characterization of the solution. As an application, we…
We treat a discrete-time asset allocation problem in an arbitrage-free, generically incomplete financial market, where the investor has a possibly non-concave utility function and wealth is restricted to remain non-negative. Under easily…
Submodular maximization generalizes many fundamental problems in discrete optimization, including Max-Cut in directed/undirected graphs, maximum coverage, maximum facility location and marketing over social networks. In this paper we…
We consider hedging of a contingent claim by a 'semi-static' strategy composed of a dynamic position in one asset and static (buy-and-hold) positions in other assets. We give general representations of the optimal strategy and the hedging…
We propose a pricing technique based on coherent risk measures, which enables one to get finer price intervals than in the No Good Deals pricing. The main idea consists in splitting a liability into several parts and selling these parts to…
In this work, we address the optimal retirement problem in the presence of a stochastic wage, formulated as a free boundary problem. Specifically, we explore an incomplete market setting where the wage cannot be perfectly hedged through…
This paper studies the distributed optimization problem with possibly nonidentical local constraints, where its global objective function is composed of $N$ convex functions. The aim is to solve the considered optimization problem in a…
We propose a flexible framework for hedging a contingent claim by holding static positions in vanilla European calls, puts, bonds, and forwards. A model-free expression is derived for the optimal static hedging strategy that minimizes the…