Related papers: Sensitivity analysis for expected utility maximiza…
This paper studies an $\alpha$-robust utility maximization problem where an investor faces an intractable claim -- an exogenous contingent claim with known marginal distribution but unspecified dependence structure with financial market…
In models like axion monodromy, temporal features during inflation which are not associated with its ending can produce scalar, and to a lesser extent, tensor power spectra where deviations from scale-free power law spectra can be as large…
We construct an estimator of the unknown drift parameter $\theta\in {\mathbb{R}}$ in the linear model \[X_t=\theta t+\sigma_1B^{H_1}(t)+\sigma_2B^{H_2}(t),\;t\in[0,T],\] where $B^{H_1}$ and $B^{H_2}$ are two independent fractional Brownian…
We consider an optimal investment-consumption problem for a utility-maximizing investor who has access to assets with different liquidity and whose consumption rate as well as terminal wealth are subject to lower-bound constraints. Assuming…
The optimization of high dimensional functions is a key issue in engineering problems but it frequently comes at a cost that is not acceptable since it usually involves a complex and expensive computer code. Engineers often overcome this…
In this paper, we focus on the estimation of historical volatility of asset prices from high-frequency data. Stochastic volatility models pose a major statistical challenge: since in reality historical volatility is not observable, its…
We study a general robust utility maximization problem in a discrete-time frictionless market. The investor is assumed to have a possibly infinite, random, nonconcave, and nondecreasing utility function defined on the whole real line. She…
In this paper the utility optimization problem for a general insurance model is studied. The reserve process of the insurance company is described by a stochastic differential equation driven by a Brownian motion and a Poisson random…
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…
Causal inference with observational studies often suffers from unmeasured confounding, yielding biased estimators based on the unconfoundedness assumption. Sensitivity analysis assesses how the causal conclusions change with respect to…
The paper studies the robust maximization of utility of terminal wealth in the diffusion financial market model. The underlying model consists with risky tradable asset, whose price is described by diffusion process with misspecified trend…
To choose between two discrete goods, a consumer pays attention to only those with prices below a threshold. From these, she chooses her most preferred good. We assume consumers in a population have the same preference but may have…
We study the problem of estimating a random process from the observations collected by a network of sensors that operate under resource constraints. When the dynamics of the process and sensor observations are described by a state-space…
We examine optimization problems in which an investor has the opportunity to trade in $d$ stocks with the goal of maximizing her worst-case cost of cumulative gains and losses. Here, worst-case refers to taking into account all possible…
Modern machine learning algorithms, especially deep learning based techniques, typically involve careful hyperparameter tuning to achieve the best performance. Despite the surge of intense interest in practical techniques like Bayesian…
We introduce several methods for assessing sensitivity to unmeasured confounding in marginal structural models; importantly we allow treatments to be discrete or continuous, static or time-varying. We consider three sensitivity models: a…
We study optimal investment problem for a diffusion market consisting of a finite number of risky assets (for example, bonds, stocks and options). Risky assets evolution is described by Ito's equation, and the number of risky assets can be…
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…
This paper considers a portfolio optimization problem in which asset prices are represented by SDEs driven by Brownian motion and a Poisson random measure, with drifts that are functions of an auxiliary diffusion 'factor' process. The…
We present two analytical formulae for estimating the sensitivity -- namely, the gradient or Jacobian -- at given realizations of an arbitrary-dimensional random vector with respect to its distributional parameters. The first formula…