Related papers: Optimization Method for Interval Portfolio Selecti…
We provide analytical results for a static portfolio optimization problem with two coherent risk measures. The use of two risk measures is motivated by joint decision-making for portfolio selection where the risk perception of the portfolio…
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…
This paper considers a robust time-consistent mean-variance-skewness portfolio selection problem for an ambiguity-averse investor by taking into account wealth-dependent risk aversion and wealth-dependent skewness preference as well as…
The classical dynamic programming-based optimal stochastic control methods fail to cope with nonseparable dynamic optimization problems as the principle of optimality no longer applies in such situations. Among these notorious nonseparable…
This paper studies a type of periodic utility maximization for portfolio management in an incomplete market model, where the underlying price diffusion process depends on some external stochastic factors. The portfolio performance is…
This survey reviews portfolio choice in settings where investment opportunities are stochastic due to, e.g., stochastic volatility or return predictability. It is explained how to heuristically compute candidate optimal portfolios using…
This is a companion paper of [Mixed equilibrium solution of time-inconsistent stochastic LQ problem, arXiv:1802.03032], where general theory has been established to characterize the open-loop equilibrium control, feedback equilibrium…
Inequalities may appear in many models. They can be as simple as assuming a parameter is nonnegative, possibly a regression coefficient or a treatment effect. This paper focuses on the case that there is only one inequality and proposes a…
In many statistical problems, several estimators are usually available for interval estimation of a parameter of interest, and hence, the selection of an appropriate estimator is important. The criterion for a good estimator is to have a…
The interval scheduling problem is one variant of the scheduling problem. In this paper, we propose a novel variant of the interval scheduling problem, whose definition is as follows: given jobs are specified by their {\em release times},…
We address a specific but recurring problem related to sampled linear systems. In particular, we provide a numerical method for the rigorous verification of constraint satisfaction for linear continuous-time systems between sampling…
Nowadays, reaching a high level of employee satisfaction in efficient schedules is an important and difficult task faced by companies. We tackle a new variant of the personnel scheduling problem under unknown demand by considering employee…
This work derives an approximate analytical single period solution of the portfolio choice problem for the power utility function. It is possible to do so if we consider that the asset returns follow a multivariate normal distribution. It…
We employ model predictive control for a multi-period portfolio optimization problem. In addition to the mean-variance objective, we construct a portfolio whose allocation is given by model predictive control with a risk-parity objective,…
The paper solves the problem of optimal portfolio choice when the parameters of the asset returns distribution, like the mean vector and the covariance matrix are unknown and have to be estimated by using historical data of the asset…
In this paper we develop a unified approach for solving a wide class of sequential selection problems. This class includes, but is not limited to, selection problems with no-information, rank-dependent rewards, and considers both fixed as…
We propose an iterative gradient-based algorithm to efficiently solve the portfolio selection problem with multiple spectral risk constraints. Since the conditional value at risk (CVaR) is a special case of the spectral risk measure, our…
In this paper, we consider the solution of ill-conditioned systems of linear algebraic equations that can be determined imprecisely. To improve the stability of the solution process, we "immerse" the original imprecise linear system in an…
This paper considers the portfolio management problem of optimal investment, consumption and life insurance. We are concerned with time inconsistency of optimal strategies. Natural assumptions, like different discount rates for consumption…
We consider the problem of selecting the best variable-value strategy for solving a given problem in constraint programming. We show that the recent Embarrassingly Parallel Search method (EPS) can be used for this purpose. EPS proposes to…