Related papers: Reduced Form Capital Optimization
We study an optimization-based approach to con- struct a mean-reverting portfolio of assets. Our objectives are threefold: (1) design a portfolio that is well-represented by an Ornstein-Uhlenbeck process with parameters estimated by maximum…
In this paper, we study an optimal mean-variance investment-reinsurance problem for an insurer (she) under a Cram\'er-Lundberg model with random coefficients. At any time, the insurer can purchase reinsurance or acquire new business and…
The paper addresses general constrained and non-linear optimization problems. For some of these notoriously hard problems, there exists a reformulation as an unconstrained, global optimization problem. We illustrate the transformation, and…
Managing stock efficiently remains a core issue in modern logistics, where companies must reconcile cost efficiency with dependable service despite unpredictable market conditions. Conventional models often overlook the direct connection…
We develop a new analysis for portfolio optimisation with options, tackling the three fundamental issues with this problem: asymmetric options' distributions, high dimensionality and dependence structure. To do so, we propose a new…
The optimal stopping problem for the risk process with interests rates and when claims are covered immediately is considered. An insurance company receives premiums and pays out claims which have occured according to a renewal process and…
We consider the constrained Linear Inverse Problem (LIP), where a certain atomic norm (like the $\ell_1 $ norm) is minimized subject to a quadratic constraint. Typically, such cost functions are non-differentiable, which makes them not…
The strengthening of capital requirements has induced banks and traders to consider charging a so called capital valuation adjustment (KVA) to the clients in OTC transactions. This roughly corresponds to charge the clients ex-ante the…
This article deals with the problem of optimal allocation of capital to corporate bonds in fixed income portfolios when there is the possibility of correlated defaults. Under fairly general assumptions for the distribution of the total net…
In this paper, we investigate the optimal management of defined contribution (abbr. DC) pension plan under relative performance ratio and Value-at-Risk (abbr. VaR) constraint. Inflation risk is introduced in this paper and the financial…
We consider robust optimization problems, where the goal is to optimize in the worst case over a class of objective functions. We develop a reduction from robust improper optimization to Bayesian optimization: given an oracle that returns…
Any optimization algorithm based on the risk parity approach requires the formulation of portfolio total risk in terms of marginal contributions. In this paper we use the independence of the underlying factors in the market to derive the…
We propose and implement modern computational methods to enhance catastrophe excess-of-loss reinsurance contracts in practice. The underlying optimization problem involves attachment points, limits, and reinstatement clauses, and the…
We study the problem of optimal execution of a trading order under Volume Weighted Average Price (VWAP) benchmark, from the point of view of a risk-averse broker. The problem consists in minimizing mean-variance of the slippage, with…
We consider a class of combinatorial optimization problems that emerge in a variety of domains among which: condensed matter physics, theory of financial risks, error correcting codes in information transmissions, molecular and protein…
This paper studies the problem of optimally allocating a cash injection into a financial system in distress. Given a one-period borrower-lender network in which all debts are due at the same time and have the same seniority, we address the…
Portfolio optimization methods suffer from a catalogue of known problems, mainly due to the facts that pair correlations of asset returns are unstable, and that extremal risk measures such as maximum drawdown are difficult to predict due to…
Complex system design problems, such as those involved in aerospace engineering, require the use of numerically costly simulation codes in order to predict the performance of the system to be designed. In this context, these codes are often…
Optimization methods have been broadly applied to two classes of objects viz. (i) modeling and description of data and (ii) the determination of the stationary points of functions. Here, a theoretical basis is developed that optimizes an…
Shape-constrained optimization arises in a wide range of problems including distributionally robust optimization (DRO) that has surging popularity in recent years. In the DRO literature, these problems are usually solved via reduction into…