Related papers: Outperformance and Tracking: Dynamic Asset Allocat…
This paper studies an optimal consumption problem with both relaxed benchmark tracking and consumption drawdown constraint, leading to a stochastic control problem with dynamic state-control constraints. In our relaxed tracking formulation,…
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…
We consider a general class of Dynamic Programming (DP) problems with non-separable objective functions. We show that for any problem in this class, there exists an augmented-state DP problem which satisfies the Principle of Optimality and…
This paper presents a deep reinforcement learning (DRL) framework for dynamic portfolio optimization under market uncertainty and risk. The proposed model integrates a Sharpe ratio-based reward function with direct risk control mechanisms,…
This paper analyzes and explicitly solves a class of long-term average impulse control problems and a related class of singular control problems. The underlying process is a general one-dimensional diffusion with appropriate boundary…
There is a great number of factors to take into account when building and managing an investment portfolio. It is widely believed that a proper set-up of the portfolio combined with a good, robust management strategy is the key to…
In this paper, we study a stock-rationing queue with two demand classes by means of the sensitivity-based optimization, and develop a complete algebraic solution to the optimal dynamic rationing policy. We show that the optimal dynamic…
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 investigate an optimal investment problem with a general performance criterion which, in particular, includes discontinuous functions. Prices are modeled as diffusions and the market is incomplete. We find an explicit solution for the…
The paper presents an advanced version of an adaptive market-making agent capable of performing experiential learning, exploiting a "try and fail" approach relying on a swarm of subordinate agents executed in a virtual environment to…
This survey reviews portfolio selection problem for long-term horizon. We consider two objectives: (i) maximize the probability for outperforming a target growth rate of wealth process (ii) minimize the probability of falling below a target…
The assignment of tasks to multiple resources becomes an interesting game theoretic problem, when both the task owner and the resources are strategic. In the classical, nonstrategic setting, where the states of the tasks and resources are…
We address the problem of portfolio optimization under the simplest coherent risk measure, i.e. the expected shortfall. As it is well known, one can map this problem into a linear programming setting. For some values of the external…
We establish a high-dimensional statistical learning framework for individualized asset allocation. Our proposed methodology addresses continuous-action decision-making with a large number of characteristics. We develop a discretization…
We extend Relative Robust Portfolio Optimisation models to allow portfolios to optimise their distance to a set of benchmarks. Portfolio managers are also given the option of computing regret in a way which is more in line with market…
This article studies a portfolio optimization problem, where the market consisting of several stocks is modeled by a multi-dimensional jump-diffusion process with age-dependent semi-Markov modulated coefficients. We study risk sensitive…
This paper investigates the optimal management of an aggregated defined benefit pension plan in a stochastic environment. The interest rate follows the Ornstein-Uhlenbeck model, the benefits follow the geometric Brownian motion while the…
Integer variables allow the treatment of some portfolio optimization problems in a more realistic way and introduce the possibility of adding some natural features to the model. We propose an algebraic approach to maximize the expected…
We consider a financial intermediary managing assets and liabilities exposed to several risk sources and seeking an optimal portfolio strategy to minimise the initial capital invested and the total risk associated with investment losses and…
Empirical studies indicate the presence of multi-scales in the volatility of underlying assets: a fast-scale on the order of days and a slow-scale on the order of months. In our previous works, we have studied the portfolio optimization…