Related papers: Non-convex dynamic programming and optimal investm…
Motivated by the problem of optimal portfolio liquidation under transient price impact, we study the minimization of energy functionals with completely monotone displacement kernel under an integral constraint. The corresponding minimizers…
Solutions of stochastic Volterra (integral) equations are not Markov processes, and therefore classical methods, like dynamic programming, cannot be used to study optimal control problems for such equations. However, we show that by using…
We analyze characteristics' joint predictive information through the lens of out-of-sample power utility functions. Linking weights to characteristics to form optimal portfolios suffers from estimation error which we mitigate by maximizing…
We consider a discrete-time model of a financial market where a risky asset is bought and sold with transactions having a transient price impact. It is shown that the corresponding utility maximization problem admits a solution. We manage…
We investigate approximately optimal mechanisms in settings where bidders' utility functions are non-linear; specifically, convex, with respect to payments (such settings arise, for instance, in procurement auctions for energy). We provide…
This paper studies the utility maximization problem of an agent with non-trivial endowment, and whose preferences are modeled by the maximal subsolution of a BSDE. We prove existence of an optimal trading strategy and relate our existence…
In this article we present a general framework for non-concave robust stochastic control problems under model uncertainty in a discrete time finite horizon setting. Our framework allows to consider a variety of different path-dependent…
In the article Positive Dynamic Programming, David Blackwell tries to answer the question concerning the existence of optimal stationary strategies for a positive dynamic programming problem. The principal results obtained in the paper are…
This paper examines replication portfolio construction in incomplete markets - a key problem in financial engineering with applications in pricing, hedging, balance sheet management, and energy storage planning. We model this as a…
A large number of recent studies consider a compartmental SIR model to study optimal control policies aimed at containing the diffusion of COVID-19 while minimizing the economic costs of preventive measures. Such problems are non-convex and…
Portfolio management problems are often divided into two types: active and passive, where the objective is to outperform and track a preselected benchmark, respectively. Here, we formulate and solve a dynamic asset allocation problem that…
Motivated by practical applications, we explore the constrained multi-period mean-variance portfolio selection problem within a market characterized by a dynamic factor model. This model captures predictability in asset returns driven by…
This paper investigates the relationship between Pontryagin's maximum principle and dynamic programming principle in the context of stochastic optimal control systems governed by stochastic evolution equations with random coefficients in…
We construct an utility-based dynamic asset pricing model for a limit order market. The price is nonlinear in volume and subject to market impact. We solve an optimal hedging problem under the market impact and derive the dynamics of the…
The paper studies problem of continuous time optimal portfolio selection for a incom- plete market diffusion model. It is shown that, under some mild conditions, near optimal strategies for investors with different performance criteria can…
We develop a novel procedure for estimating the optimizer of general convex stochastic optimization problems of the form $\min_{x\in\mathcal{X}} \mathbb{E}[F(x,\xi)]$, when the given data is a finite independent sample selected according to…
This paper addresses constrained smooth saddle-point problems in settings where projection onto the feasible sets is computationally expensive. We bridge the gap between projection-based and projection-free optimization by introducing a…
We present a method for determining optimal modes of operation for autonomously oscillating systems with uncertain parameters. In a typical application of the method, a nonlinear dynamical system is optimized with respect to an economic…
We describe an abstract control-theoretic framework in which the validity of the dynamic programming principle can be established in continuous time by a verification of a small number of structural properties. As an application we treat…
In this paper, we discuss the ambiguous chance constrained based portfolio optimization problems, in which the perturbations associated with the input parameters are stochastic in nature, but their distributions are not known precisely. We…