Related papers: The Asset Liability Management problem of a nuclea…
We address the calibration of a computationally expensive nuclear physics model for which derivative information with respect to the fit parameters is not readily available. Of particular interest is the performance of optimization-based…
This paper is concerned with an optimal reinsurance and investment problem for an insurance firm under the criterion of mean-variance. The driving Brownian motion and the rate in return of the risky asset price dynamic equation cannot be…
We consider the optimal power management in renewable driven smart building MicroGrid under noise corrupted conditions as a stochastic optimization problem. We first propose our user satisfaction and electricity consumption balanced (USECB)…
We investigate the role of reinsurance in maximizing the wealth of an insurance company. We use Liu's uncertainty theory (B. Liu, 2007) for the problem modeling and follow-up computations. The uncertainty measure of ruin for the insurance…
In this work the problem of optimal harvesting policy selection for natural resources management under model uncertainty is investigated. Under the framework of the neoclassical growth model dynamics, the associated optimal control problem…
Electricity prices and the end user net load vary with time. Electricity consumers equipped with energy storage devices can perform energy arbitrage, i.e., buy when energy is cheap or when there is a deficit of energy, and sell it when it…
Due to the established energy production methods contribution to the climate crisis, renewable energy is to replace a substantial part of coal or nuclear plants to prevent greenhouse gases or toxic waste entering the atmosphere. This…
We present a numerical method to compute the optimal maintenance time for a complex dynamic system applied to an example of maintenance of a metallic structure subject to corrosion. An arbitrarily early intervention may be uselessly costly,…
We consider robust pricing and hedging for options written on multiple assets given market option prices for the individual assets. The resulting problem is called the multi-marginal martingale optimal transport problem. We propose two…
This paper concerns an optimal dividend distribution problem for an insurance company with surplus-dependent premium. In the absence of dividend payments, such a risk process is a particular case of so-called piecewise deterministic Markov…
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…
This paper applies computational techniques of convex stochastic optimization to optimal operation and valuation of electricity storages in the face of uncertain electricity prices. Our valuations are based on the indifference pricing…
The paper considers the optimal control problem of inventory of a discrete product in regeneration scheme with a Poisson flow of customer requirements. In the system deferred demand is allowed, the volume of which is limited by a given…
We study a linear-quadratic, optimal control problem on a discrete, finite time horizon with distributional ambiguity, in which the cost is assessed via Conditional Value-at-Risk (CVaR). We take steps toward deriving a scalable dynamic…
How should financial institutions hedge their balance sheets against interest rate risk when managing long-term assets and liabilities? We address this question by proposing a bond portfolio solution based on ambiguity-averse preferences,…
To the best of our knowledge, the application of deep learning in the field of quantitative risk management is still a relatively recent phenomenon. This article presents the key notions of Deep Asset Liability Management (Deep~ALM) for a…
This work addresses the problem of risk-sensitive control for nonlinear systems with imperfect state observations, extending results for the linear case. In particular, we derive an algorithm that can compute local solutions with…
This thesis mainly focuses on two problems in capital structure and individual's life-cycle portfolio choice. In the first problem, we derive a stochastic control model to optimize banks' dividend and recapitalization policies and calibrate…
We investigate a continuous-time investment-consumption problem with model uncertainty in a general diffusion-based market with random model coefficients. We assume that a power utility investor is ambiguity-averse, with the preference to…
Portfolio optimization is an important process in finance that consists in finding the optimal asset allocation that maximizes expected returns while minimizing risk. When assets are allocated in discrete units, this is a combinatorial…