Related papers: Sensitivity analysis for expected utility maximiza…
A sensitivity analysis in an observational study assesses the robustness of significant findings to unmeasured confounding. While sensitivity analyses in matched observational studies have been well addressed when there is a single outcome…
This paper solves a utility maximization problem under utility-based shortfall risk constraint, by proposing an approach using Lagrange multiplier and convex duality. Under mild conditions on the asymptotic elasticity of the utility…
This paper is concerned with portfolio selection for an investor with power utility in multi-asset financial markets in a rough stochastic environment. We investigate Merton's portfolio problem for different multivariate Volterra models,…
This paper proposes two algorithms for solving stochastic control problems with deep learning, with a focus on the utility maximisation problem. The first algorithm solves Markovian problems via the Hamilton Jacobi Bellman (HJB) equation.…
We consider the problem of utility maximization for small traders on incomplete financial markets. As opposed to most of the papers dealing with this subject, the investors' trading strategies we allow underly constraints described by…
This paper studies a type of periodic utility maximization problems for portfolio management in incomplete stochastic factor models with convex trading constraints. The portfolio performance is periodically evaluated on the relative ratio…
In an equity market model with "Knightian" uncertainty regarding the relative risk and covariance structure of its assets, we characterize in several ways the highest return relative to the market that can be achieved using nonanticipative…
We develop a duality theory for the problem of maximising expected lifetime utility from inter-temporal wealth over an infinite horizon, under the minimal no-arbitrage assumption of No Unbounded Profit with Bounded Risk (NUPBR). We use only…
In this paper we investigate a utility maximization problem with drift uncertainty in a multivariate continuous-time Black-Scholes type financial market which may be incomplete. We impose a constraint on the admissible strategies that…
High fidelity models used in many science and engineering applications couple multiple physical states and parameters. Inverse problems arise when a model parameter cannot be determined directly, but rather is estimated using (typically…
We study power utility maximization for exponential L\'evy models with portfolio constraints, where utility is obtained from consumption and/or terminal wealth. For convex constraints, an explicit solution in terms of the L\'evy triplet is…
The sensitivity parameter is widely used for quantifying fine tuning. However, examples show it fails to give correct results under certain circumstances. We argue that these problems only occur when calculating the sensitivity of a…
A wide array of graphical models can be parametrised to have atomic probabilities represented by monomial functions. Such monomial structure has proven very useful when studying robustness under the assumption of a multilinear model where…
We study the causal distributionally robust optimization (DRO) in both discrete- and continuous- time settings. The framework captures model uncertainty, with potential models penalized in function of their adapted Wasserstein distance to a…
In this paper we investigate the sensitivity analysis of parameterized nonlinear variational inequalities of second kind in a Hilbert space. The challenge of the present work is to take into account a perturbation on all the data of the…
We provide a novel method for sensitivity analysis of parametric robust Markov chains. These models incorporate parameters and sets of probability distributions to alleviate the often unrealistic assumption that precise probabilities are…
The sum-utility maximization problem is known to be important in the energy systems literature. The conventional assumption to address this problem is that the utility is concave. But for some key applications, such an assumption is not…
We consider the problem of maximizing expected utility for a power investor who can allocate his wealth in a stock, a defaultable security, and a money market account. The dynamics of these security prices are governed by geometric Brownian…
The sensitivity parameter is widely used for quantifying fine tuning. However, examples show it fails to give correct results under certain circumstances. We argue that the problems of the sensitivity parameter are almost identical to the…
This paper studies Merton's problem in an extended formulation by incorporating the benchmark tracking on the wealth process. We consider a tracking formulation where the fund manager aims to maximize the trade-off between the expected…