Related papers: Robust expected utility maximization with medial l…

We study expected utility maximization problem with constant relative risk aversion utility function in a complete market under the reinforcement learning framework. To induce exploration, we introduce the Tsallis entropy regularizer, which…

This paper studies distributional model risk in marginal problems, where each marginal measure is assumed to lie in a Wasserstein ball centered at a fixed reference measure with a given radius. Theoretically, we establish several…

Performativity means that the deployment of a predictive model incentivizes agents to strategically adapt their behavior, thereby inducing a model-dependent distribution shift. Practitioners often repeatedly retrain the model on data…

In the frictionless discrete time financial market of Bouchard et al.(2015) we consider a trader who, due to regulatory requirements or internal risk management reasons, is required to hedge a claim $\xi$ in a risk-conservative way relative…

We study stability properties of the expected utility function in Bayesian optimal experimental design. We provide a framework for this problem in a non-parametric setting and prove a convergence rate of the expected utility with respect to…

In this paper we study a utility maximization problem with random horizon and reduce it to the analysis of a specific BSDE, which we call BSDE with singular coefficients, when the support of the default time is assumed to be bounded. We…

Consider power utility maximization of terminal wealth in a 1-dimensional continuous-time exponential Levy model with finite time horizon. We discretize the model by restricting portfolio adjustments to an equidistant discrete time grid.…

In this paper a class of optimization problems with uncertain linear constraints is discussed. It is assumed that the constraint coefficients are random vectors whose probability distributions are only partially known. Possibility theory is…

We consider the maximization problem of monotone submodular functions under an uncertain knapsack constraint. Specifically, the problem is discussed in the situation that the knapsack capacity is not given explicitly and can be accessed…

We provide a detailed characterization of the optimal consumption stream for the additive habit-forming utility maximization problem, in a framework of general discrete-time incomplete markets and random endowments. This characterization…

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…

We consider distributionally robust optimal control of stochastic linear systems under signal temporal logic (STL) chance constraints when the disturbance distribution is unknown. By assuming that the underlying predicate functions are…

In a reinforcement learning (RL) framework, we study the exploratory version of the continuous time expected utility (EU) maximization problem with a portfolio constraint that includes widely-used financial regulations such as short-selling…

In this paper, an optimization problem with uncertain constraint coefficients is considered. Possibility theory is used to model the uncertainty. Namely, a joint possibility distribution in constraint coefficient realizations, called…

This paper investigates risk measures derived from the expected maximum deficit in a continuous-time framework and develops optimal reserve allocation strategies across multiple lines of business. We formalize the expected maximum deficit…

We investigate constrained optimal control problems for linear stochastic dynamical systems evolving in discrete time. We consider minimization of an expected value cost over a finite horizon. Hard constraints are introduced first, and then…

The paper studies the robustness properties of discrete-time stochastic optimal control under Wasserstein model approximation for both discounted-cost and average-cost criteria. Specifically, we study the performance loss when applying an…

A model for decision making that generalizes Expected Utility Maximization is presented. This model, Expected Qualitative Utility Maximization, encompasses the Maximin criterion. It relaxes both the Independence and the Continuity…

Motivated by an application to resource sharing network modelling, we consider a problem of greedy maximization (i.e., maximization of the consecutive minima) of a vector in $R^n$, with the admissible set indexed by the time parameter. The…

In this paper, we consider a network capacity expansion problem in the context of telecommunication networks, where there is uncertainty associated with the expected traffic demand. We employ a distributionally robust stochastic…