Related papers: Optimal Liquidation under Partial Information with…
We solve explicitly the Almgren-Chriss optimal liquidation problem where the stock price process follows a geometric Brownian motion. Our technique is to work in terms of cash and to use functional analysis tools. We show that this…
When sales of a product are affected by randomness in demand, retailers can use dynamic pricing strategies to maximise their profits. In this article the pricing problem is formulated as a stochastic optimal control problem, where the…
We present a method for obtaining approximate solutions to the problem of optimal execution, based on a signature method. The framework is general, only requiring that the price process is a geometric rough path and the price impact…
In this paper we investigate the hedging problem of a unit-linked life insurance contract via the local risk-minimization approach, when the insurer has a restricted information on the market. In particular, we consider an endowment…
This paper studies the ubiquitous problem of liquidating large quantities of highly correlated stocks, a task frequently encountered by institutional investors and proprietary trading firms. Traditional methods in this setting suffer from…
In financial markets, liquidity is not constant over time but exhibits strong seasonal patterns. In this article we consider a limit order book model that allows for time-dependent, deterministic depth and resilience of the book and…
The paper studies a class of quadratic optimal control problems for partially observable linear dynamical systems. In contrast to the full information case, the control is required to be adapted to the filtration generated by the…
A natural optimization model that formulates many online resource allocation and revenue management problems is the online linear program (LP) in which the constraint matrix is revealed column by column along with the corresponding…
This paper presents a numerical method to calculate the value function for a general discounted impulse control problem for piecewise deterministic Markov processes. Our approach is based on a quantization technique for the underlying…
We consider a stochastic optimal control problem in a market model with temporary and permanent price impact, which is related to an expected utility maximization problem under finite fuel constraint. We establish the initial condition…
This paper presents an optimal strategy for portfolio liquidation under discrete time conditions. We assume that N risky assets held will be liquidated according to the same time interval and order quantity, and the basic price processes of…
We consider a class of optimization problems over stochastic variables where the algorithm can learn information about the value of any variable through a series of costly steps; we model this information acquisition process as a Markov…
We study the stochastic control problem of maximizing expected utility from terminal wealth under a non-bankruptcy constraint. The wealth process is subject to shocks produced by a general marked point process. The problem of the agent is…
Strategic product placement can have a strong influence on customer purchase behavior in physical stores as well as online platforms. Motivated by this, we consider the problem of optimizing the placement of substitutable products in…
We study the optimal order placement strategy with the presence of a liquidity cost. In this problem, a stock trader wishes to clear her large inventory by a predetermined time horizon $T$. A trader uses both limit and market orders, and a…
We present an alternative view for the study of optimal control of partially observed Markov Decision Processes (POMDPs). We first revisit the traditional (and by now standard) separated-design method of reducing the problem to fully…
We consider the problem of dynamic buying and selling of shares from a collection of $N$ stocks with random price fluctuations. To limit investment risk, we place an upper bound on the total number of shares kept at any time. Assuming that…
We consider a robust version of the revenue maximization problem, where a single seller wishes to sell $n$ items to a single unit-demand buyer. In this robust version, the seller knows the buyer's marginal value distribution for each item…
This papers deals with the constrained discounted control of piecewise deterministic Markov process (PDMPs) in general Borel spaces. The control variable acts on the jump rate and transition measure, and the goal is to minimize the total…
We derive asymptotically optimal statistical decision rules for discrete choice problems when payoffs depend on a partially-identified parameter $\theta$ and the decision maker can use a point-identified parameter $\mu$ to deduce…