Related papers: Efficient hedging under ambiguity in continuous ti…

A minimal model of a market of myopic non-cooperative agents who trade bilaterally with random bids reproduces qualitative features of short-term electric power markets, such as those in California and New England. Each agent knows its own…

This paper considers a distributionally robust chance constraint model with a general ambiguity set. We show that a sample based approximation of this model converges under suitable sufficient conditions. We also show that upper and lower…

We study a financial model with a non-trivial price impact effect. In this model we consider the interaction of a large investor trading in an illiquid security, and a market maker who is quoting prices for this security. We assume that the…

This paper demonstrates a practical method for computing the solution of an expectation-constrained robust maximization problem with immediate applications to model-free no-arbitrage bounds and super-replication values for many financial…

In this work, I address the issue of forming riskless hedge in the continuous time option pricing model with stochastic stock volatility. I show that it is essential to verify whether the replicating portfolio is self-financing, in order…

We construct an utility-based dynamic asset pricing model for a limit order market. The price is nonlinear in volume and subject to market impact. We solve an optimal hedging problem under the market impact and derive the dynamics of the…

We consider the martingale optimal transport duality for c\`adl\`ag processes with given initial and terminal laws. Strong duality and existence of dual optimizers (robust semi-static superhedging strategies) are proved for a class of…

Shorting for hedging exposes to risk when the market dynamics is uncertain. Managing uncertainty and risk exposure is key in portfolio management practice. This paper develops a robust framework for dynamic minimum-variance hedging that…

We propose a refinement of the maxmin approach to robustness. A mechanism's payoff guarantee over an ambiguity set is \emph{robust} if the guarantee is approximately satisfied at priors near the ambiguity set (in the weak topology). We show…

Fair resource allocation is a fundamental optimization problem with applications in operations research, networking, and economic and game theory. Research in these areas has led to the general acceptance of a class of $\alpha$-fair utility…

Given a prediction task, understanding when one can and cannot design a consistent convex surrogate loss, particularly a low-dimensional one, is an important and active area of machine learning research. The prediction task may be given as…

Most inverse optimization models impute unspecified parameters of an objective function to make an observed solution optimal for a given optimization problem with a fixed feasible set. We propose two approaches to impute unspecified…

In most real scenarios the construction of a risk-neutral portfolio must be performed in discrete time and with transaction costs. Two human imposed constraints are the risk-aversion and the profit maximization, which together define a…

We consider the mean-variance hedging problem under partial Information. The underlying asset price process follows a continuous semimartingale and strategies have to be constructed when only part of the information in the market is…

This paper studies the problem of maximizing the expected utility of terminal wealth for a financial agent with an unbounded random endowment, and with a utility function which supports both positive and negative wealth. We prove the…

In this note, we consider a general discrete time financial market with proportional transaction costs as in Kabanov and Stricker (2001), Kabanov et al. (2002), Kabanov et al. (2003) and Schachermayer (2004). We provide a dual formulation…

We study continuous-time portfolio choice with nonlinear payoffs under smooth ambiguity and Bayesian learning. We develop a general framework for dynamic, non-concave asset allocation that accommodates nonlinear payoffs, broad utility…

We present a unified duality approach to Bayesian persuasion. The optimal dual variable, interpreted as a price function on the state space, is shown to be a supergradient of the concave closure of the objective function at the prior…

For portfolio choice problems with proportional transaction costs, we discuss whether or not there exists a "shadow price", i.e., a least favorable frictionless market extension leading to the same optimal strategy and utility. By means of…

Motivated by recent axiomatic developments, we study the risk- and ambiguity-averse investment problem where trading takes place over a fixed finite horizon and terminal payoffs are evaluated according to a criterion defined in terms of a…