Related papers: Time consistency and moving horizons for risk meas…

The performance of a number of different measures of nonlinearity in a time series is compared numerically. Their power to distinguish noisy chaotic data from linear stochastic surrogates is determined by Monte Carlo simulation for a number…

Many real-world decision-making problems involve multiple decision-making stages and various objectives. Besides, most of the decisions need to be made before having complete knowledge about all aspects of the problem leaves some sort of…

Discrete-time random walks and their extensions are common tools for analyzing animal movement data. In these analyses, resolution of temporal discretization is a critical feature. Ideally, a model both mirrors the relevant temporal scale…

The classical discrete time model of proportional transaction costs relies on the assumption that a feasible portfolio process has solvent increments at each step. We extend this setting in two directions, allowing for convex transaction…

In the presence of ambiguity on the driving force of market randomness, we consider the dynamic portfolio choice without any predetermined investment horizon. The investment criteria is formulated as a robust forward performance process,…

In this paper, the robust stability and convergence to the true state of moving horizon estimator based on an adaptive arrival cost are established for nonlinear detectable systems. Robust global asymptotic stability is shown for the case…

We extend well-known comparative results under expected utility to models of non-expected utility by providing novel conditions on local utility functions. We illustrate how our results parallel, and are distinct from, existing results for…

Inspired by Strotz's consistent planning strategy, we formulate the infinite horizon mean-variance stopping problem as a subgame perfect Nash equilibrium in order to determine time consistent strategies with no regret. Equilibria among…

We consider a simple control problem in which the underlying dynamics depend on a parameter that is unknown and must be learned. We exhibit a control strategy which is optimal to within a multiplicative constant. While most authors find…

The family of admissible positions in a transaction costs model is a random closed set, which is convex in case of proportional transaction costs. However, the convexity fails, e.g. in case of fixed transaction costs or when only a finite…

We quantify model risk of a financial portfolio whereby a multi-period mean-standard-deviation criterion is used as a selection criterion. In this work, model risk is defined as the loss due to uncertainty of the underlying distribution of…

In this paper we study the continuous dependence with respect to obstacles for obstacle problems with measure data. This is deeply investigated introducing a suitable type of convergence, which gives stability under very general hypotheses.…

In academic literature portfolio risk management and hedging are often versed in the language of stochastic control and Hamilton--Jacobi--Bellman~(HJB) equations in continuous time. In practice the continuous-time framework of stochastic…

In this paper, which is a continuation of the previously published discrete time paper we develop a theory for continuous time stochastic control problems which, in various ways, are time inconsistent in the sense that they do not admit a…

In the second part of our series we suggest new definitions of credit bond duration and convexity that remain consistent across all levels of credit quality including deeply distressed bonds and introduce additional risk measures that are…

The downside risk of a portfolio of (equity)assets is generally substantially higher than the downside risk of its components. In particular in times of crises when assets tend to have high correlation, the understanding of this difference…

We consider insurance derivatives depending on an external physical risk process, for example a temperature in a low dimensional climate model. We assume that this process is correlated with a tradable financial asset. We derive optimal…

We examine the possibility of incorporating information or views of market movements during the holding period of a portfolio, in the hedging of European options with respect to the underlying. Given a fixed holding period interval, we…

In the paper portfolio optimization over long run risk sensitive criterion is considered. It is assumed that economic factors which stimulate asset prices are ergodic but non necessarily uniformly ergodic. Solution to suitable Bellman…

In this paper, we investigate the problem of verifying the finite-time safety of continuous-time perturbed deterministic systems represented by ordinary differential equations in the presence of measurable disturbances. Given a finite-time…