Related papers: Optimal Equity Glidepaths in Retirement
Stock market returns are typically analyzed using standard regression, yet they reside on irregular domains which is a natural scenario for graph signal processing. To this end, we consider a market graph as an intuitive way to represent…
We develop a complete analysis of a general entry-exit-scrapping model. In particular, we consider an investment project that operates within a random environment and yields a payoff rate that is a function of a stochastic economic…
Classical mean-variance portfolio theory tells us how to construct a portfolio of assets which has the greatest expected return for a given level of return volatility. Utility theory then allows an investor to choose the point along this…
The decision to annuitize wealth in retirement planning has become increasingly complex due to rising longevity risk and changing retirement patterns, including increased labor force participation at older ages. While an extensive…
Differentiable simulation is a promising toolkit for fast gradient-based policy optimization and system identification. However, existing approaches to differentiable simulation have largely tackled scenarios where obtaining smooth…
Fine-tuning pretrained models has become a standard approach to adapting pretrained knowledge to improve the accuracy on new sparse, imbalance datasets. However, issues arise when optimization falls into a collapsed state, where the model…
This paper studies a dynamic optimal reinsurance and dividend-payout problem for an insurance company in a finite time horizon. The goal of the company is to maximize the expected cumulative discounted dividend payouts until bankruptcy or…
Signals coming from multivariate higher order conditional moments as well as the information contained in exogenous covariates, can be effectively exploited by rational investors to allocate their wealth among different risky investment…
By capturing outliers, volatility clustering, and tail dependence in the asset return distribution, we build a sophisticated model to predict the downside risk of the global financial market. We further develop a dynamic regime switching…
The growing prevalence of drift and shocks in modern decision environments exposes a gap between classical optimization theory and real-world practice. Standard models assume fixed objectives, yet organizations from hospitals to power grids…
In the market place, diversification reduces risk and provides protection against extreme events by ensuring that one is not overly exposed to individual occurrences. We argue that diversification is best measured by characteristics of the…
Sequential monitoring of images has broad applications across various domains, including climate science, ecosystem monitoring, medical diagnostics, and so forth. In many such applications, images acquired over time exhibit gradual changes,…
This paper studies a continuous-time portfolio selection problem under a general distribution of random risk aversion (RRA). We provide a complete characterization of all deterministic equilibrium strategies in closed form. Our results show…
The optimization criterion for dividends from a risky business is most often formalized in terms of the expected present value of future dividends. That criterion disregards a potential, explicit demand for stability of dividends. In…
In this paper we study the problem of designing periodic orbits for a special class of hybrid systems, namely mechanical systems with underactuated continuous dynamics and impulse events. We approach the problem by means of optimal control.…
We propose a data-driven Neural Network (NN) optimization framework to determine the optimal multi-period dynamic asset allocation strategy for outperforming a general stochastic target. We formulate the problem as an optimal stochastic…
Path finding is a well-studied problem in AI, which is often framed as graph search. Any-angle path finding is a technique that augments the initial graph with additional edges to build shorter paths to the goal. Indeed, optimal algorithms…
This paper presents a complementary approach to establish stability of finite receding horizon control with a terminal cost. First a new augmented stage cost is defined by rotating the terminal cost. Then a one-step optimisation problem is…
What grounds the rule of thumb that a(n American) retiree can safely withdraw 4% of their initial retirement wealth in their first year of retirement, then increase that rate of consumption with inflation? I address that question with a…
We develop a class of non-life reserving models using a stable-1/2 random bridge to simulate the accumulation of paid claims, allowing for an essentially arbitrary choice of a priori distribution for the ultimate loss. Taking an…