Related papers: Time consistency and moving horizons for risk meas…
To investigate a time-consistent optimal strategy for the continuous time mean-variance model, we develop a new method to establish the Bellman principle. Based on this new method, we obtain a time-consistent dynamic optimal strategy that…
This paper gives an overview of the theory of dynamic convex risk measures for random variables in discrete time setting. We summarize robust representation results of conditional convex risk measures, and we characterize various time…
We study dynamic risk measures in a very general framework enabling to model uncertainty and processes with jumps. We previously showed the existence of a canonical equivalence class of probability measures hidden behind a given set of…
Multi-period measures of risk account for the path that the value of an investment portfolio takes. In the context of probabilistic risk measures, the focus has traditionally been on the magnitude of investment loss and not on the dimension…
On the basis of an analysis of previous research, we present a generalized approach for measuring the difference of plans with an exemplary application to machine scheduling. Our work is motivated by the need for such measures, which are…
We study coherent risk measures which are time-consistent for multiple filtrations. We show that a coherent risk measure is time-consistent for every filtration if and only if it is one of four main types. Furthermore, if the risk measure…
In this paper, we consider a continuous-time mean-variance portfolio selection with regime-switching and random horizon. Unlike previous works, the dynamic of assets are described by non-Markovian regime-switching models in the sense that…
In this paper, we solve the time inconsistent portfolio selection problem by using different utility functions with a moving target as our constraint. We solve this problem by finding an equilibrium control under the given definition as our…
Survival probability within a certain time horizon T is a common measure of population viability. The choice of T implicitly involves a time preference, similar to economic discounting: Conservation success is evaluated at the time horizon…
In this paper, we propose a suboptimal moving horizon estimator for nonlinear systems. For the stability analysis we transfer the "feasibility-implies-stability/robustness" paradigm from model predictive control to the context of moving…
This article is concerned with stability and performance of controlled stochastic processes under receding horizon policies. We carry out a systematic study of methods to guarantee stability under receding horizon policies via appropriate…
Robust stability of moving-horizon estimators is investigated for nonlinear discrete-time systems that are detectable in the sense of incremental input/output-to-state stability and are affected by disturbances. The estimate of a…
Equivalent characterizations of multiportfolio time consistency are deduced for closed convex and coherent set-valued risk measures on $L^p(\Omega,\mathcal F, P; R^d)$ with image space in the power set of $L^p(\Omega,\mathcal F_t,P;R^d)$.…
We investigate the possible drawbacks of employing the standard Pearson estimator to measure correlation coefficients between financial stocks in the presence of non-stationary behavior, and we provide empirical evidence against the…
This paper contains an overview of results for dynamic multivariate risk measures. We provide the main results of four different approaches. We will prove under which assumptions results within these approaches coincide, and how properties…
We propose a moving horizon estimation scheme for estimating the states and time-varying parameters of nonlinear systems. We consider the case where observability of the parameters depends on the excitation of the system and may be absent…
We show how to compose robust stability tests for uncertain systems modeled as linear fractional representations and affected by various types of dynamic uncertainties. Our results are formulated in terms of linear matrix inequalities and…
Monitoring means to observe a system for any changes which may occur over time, using a monitor or measuring device of some sort. In this paper we formulate a problem of monitoring dates of maximal risk of a financial position. Thus, the…
For nonlinear discrete time systems satisfying a controllability condition, we present a stability condition for model predictive control without stabilizing terminal constraints or costs. The condition is given in terms of an analytical…
This paper examines the volatility and covariance dynamics of cash and futures contracts that underlie the Optimal Hedge Ratio (OHR) across different hedging time horizons. We examine whether hedge ratios calculated over a short term…