Related papers: Risk averse fractional trading using the current d…
This paper considers the problem of optimal liquidation of a position in a risky security in a financial market, where price evolution are risky and trades have an impact on price as well as uncertainty in the filling orders. The problem is…
In real-world decision-making problems, for instance in the fields of finance, robotics or autonomous driving, keeping uncertainty under control is as important as maximizing expected returns. Risk aversion has been addressed in the…
In this article we consider a special case of an optimal consumption/optimal portfolio problem first studied by Constantinides and Magill and by Davis and Norman, in which an agent with constant relative risk aversion seeks to maximise…
We consider an optimal investment and risk control problem for an insurer under the mean-variance (MV) criterion. By introducing a deterministic auxiliary process defined forward in time, we formulate an alternative time-consistent problem…
We revisit optimal execution of an active portfolio in the presence of slippage (aka linear, proportional, or absolute-value) costs. Market efficiency implies a close balance between active alphas and trading costs, so even small changes to…
We study the optimal asset allocation problem for a fund manager whose compensation depends on the performance of her portfolio with respect to a benchmark. The objective of the manager is to maximise the expected utility of her final…
Problem of time-optimal control of linear systems with fractional dynamics is treated in the paper from the convex-analytic standpoint. A linear system of fractional differential equations involving Riemann--Liouville derivatives is…
The construction of an efficient portfolio with a good level of return and minimal risk depends on selecting the optimal combination of stocks. This paper introduces a novel decision-making framework for stock selection based on fractional…
Financial market forecasting remains a formidable challenge despite the surge in computational capabilities and machine learning advancements. While numerous studies have underscored the precision of computer-generated market predictions,…
This paper presents an efficient numerical method for solving fractional optimal control problems using an operational matrix for a fractional wavelet. Using well-known formulae such as Caputo and Riemann-Liouville operators to determine…
We review recent results obtained to solve fractional order optimal control problems with free terminal time and a dynamic constraint involving integer and fractional order derivatives. Some particular cases are studied in detail. A…
In this paper, we investigate dynamic optimization problems featuring both stochastic control and optimal stopping in a finite time horizon. The paper aims to develop new methodologies, which are significantly different from those of mixed…
We consider the portfolio choice problem for a long-run investor in a general continuous semimartingale model. We suggest to use path-wise growth optimality as the decision criterion and encode preferences through restrictions on the class…
We study a continuous-time portfolio optimization problem under an explicit constraint on the Deviation Conditional Value-at-Risk (DCVaR), defined as the difference between the CVaR and the expected terminal wealth. While the mean-CVaR…
This paper studies a sequential decision problem where payoff distributions are known and where the riskiness of payoffs matters. Equivalently, it studies sequential choice from a repeated set of independent lotteries. The decision-maker is…
The fractional calculus of variations and fractional optimal control are generalizations of the corresponding classical theories, that allow problem modeling and formulations with arbitrary order derivatives and integrals. Because of the…
We study a risk-averse optimal control problem for a finite-horizon Borel model, where a cumulative cost is assessed via exponential utility. The setting permits non-linear dynamics, non-quadratic costs, and continuous state and control…
We propose a novel composite reward function for reinforcement learning in financial trading that balances return and risk using four differentiable terms: annualized return downside risk differential return and the Treynor ratio Unlike…
We consider the classic Kelly gambling problem with general distribution of outcomes, and an additional risk constraint that limits the probability of a drawdown of wealth to a given undesirable level. We develop a bound on the drawdown…
We consider learning a trading agent acting on behalf of the treasury of a firm earning revenue in a foreign currency (FC) and incurring expenses in the home currency (HC). The goal of the agent is to maximize the expected HC at the end of…