Related papers: Mathematical Constraints on Financially Viable Pub…
We consider a utility-maximization problem in a general semimartingale financial model, subject to constraints on the number of shares held in each risky asset. These constraints are modeled by predictable convex-set-valued processes whose…
We provide a new perspective to understand why reinforcement learning (RL) struggles with robustness and generalization. We show, by examples, that local optimal policies may contain unstable control for some dynamic parameters and…
The stability of stochastic Model Predictive Control (MPC) subject to additive disturbances is often demonstrated in the literature by constructing Lyapunov-like inequalities that ensure closed-loop performance bounds and boundedness of the…
Social balance theory describes allowable and forbidden configurations of the topologies of signed directed social appraisal networks. In this paper, we propose two discrete-time dynamical systems that explain how an appraisal network…
This paper studies the properties of the optimal portfolio-consumption strategies in a {finite horizon} robust utility maximization framework with different borrowing and lending rates. In particular, we allow for constraints on both…
The contemporary forestry preoccupation with non-declining even-flow during yield simulations detracts from more important questions about the constraints that should bind the end of a simulation. Whilst long simulations help to convey a…
We study the continuity properties of optimal solutions to stochastic control problems with respect to initial probability measures and applications of these to the robustness of optimal control policies applied to systems with incomplete…
This paper extends quantile factor analysis to a probabilistic variant that incorporates regularization and computationally efficient variational approximations. We establish through synthetic and real data experiments that the proposed…
This study examines how market risks impact the sustainability and performance of the New Pension System (NPS). NPS relies on defined contributions from both employees and employers to build a corpus during the employee's service period.…
We consider the problem of optimally controlling stochastic, Markovian systems subject to joint chance constraints over a finite-time horizon. For such problems, standard Dynamic Programming is inapplicable due to the time correlation of…
A well known result states that stability criterion for matchings in two-sided markets doesn't ensure uniqueness. This opens the door for a moral question with regard to the optimal stable matching from a social point of view. Here, a new…
Classical sufficient conditions for ensuring the robust stability of a dynamical system in feedback with a nonlinearity include passivity, small gain, circle, and conicity theorems. We present a generalized version of these results for…
This paper addresses the issues of conservativeness and computational complexity of probabilistic robustness analysis. We solve both issues by defining a new sampling strategy and robustness measure. The new measure is shown to be much less…
The optimization of large portfolios displays an inherent instability to estimation error. This poses a fundamental problem, because solutions that are not stable under sample fluctuations may look optimal for a given sample, but are, in…
Functions or 'functionings' enable to give a structure to any activity and their combinations constitute the capabilities which characterize economic assets such as work utility. The basic law of supply and demand naturally emerges from…
We develop a generalized stability framework for stochastic discrete-time systems, where the generality pertains to the ways in which the distribution of the state energy can be characterized. We use tools from finance and operations…
We consider the problem of governing systemic risk in a banking system model. The banking system model consists in an initial value problem for a system of stochastic differential equations whose dependent variables are the log-monetary…
A common theme in stochastic optimization problems is that, theoretically, stochastic algorithms need to "know" relatively rich information about the underlying distributions. This is at odds with most applications, where distributions are…
This papers aims to establish the empirical relationship between income, net wealth and their joint distribution in a selected group of euro area countries. I estimate measures of dependence between income and net wealth using a…
We consider the problem of estimating personalized treatment policies that are "externally valid" or "generalizable": they perform well in target populations that differ from the experimental (or training) population from which the data are…