Related papers: Bellman type strategy for the continuous time mean…
We consider a general time-inconsistent stochastic linear-quadratic differential game. The time-inconsistency arises from the presence of quadratic terms of the expected state as well as state-dependent term in the objective functionals. We…
The paper studies problem of continuous time optimal portfolio selection for a incom- plete market diffusion model. It is shown that, under some mild conditions, near optimal strategies for investors with different performance criteria can…
In this paper, we consider the optimal portfolio liquidation problem under the dynamic mean-variance criterion and derive time-consistent solutions in three important models. We give adapted optimal strategies under a reconsidered…
This paper characterizes differentiable subgame perfect equilibria in a continuous time intertemporal decision optimization problem with non-constant discounting. The equilibrium equation takes two different forms, one of which is…
Time-inconsistency is a characteristic of human behavior in which people plan for long-term benefits but take actions that differ from the plan due to conflicts with short-term benefits. Such time-inconsistent behavior is believed to be…
In timeline-based planning, domains are described as sets of independent, but interacting, components, whose behaviour over time (the set of timelines) is governed by a set of temporal constraints. A distinguishing feature of timeline-based…
We present an actor-critic-type reinforcement learning algorithm for solving the problem of hedging a portfolio of financial instruments such as securities and over-the-counter derivatives using purely historic data. The key characteristics…
A variety of problems in econometrics and machine learning, including instrumental variable regression and Bellman residual minimization, can be formulated as satisfying a set of conditional moment restrictions (CMR). We derive a general,…
In this report we derive the strategic (deterministic) allocation to bonds and stocks resulting in the optimal mean-variance trade-off on a given investment horizon. The underlying capital market features a mean-reverting process for equity…
An optimal control problem is considered for a stochastic differential equation containing a state-dependent regime switching, with a recursive cost functional. Due to the non-exponential discounting in the cost functional, the problem is…
Temporal-difference (TD) learning is highly effective at controlling and evaluating an agent's long-term outcomes. Most approaches in this paradigm implement a semi-gradient update to boost the learning speed, which consists of ignoring the…
Temporal set prediction involves forecasting the elements that will appear in the next set, given a sequence of prior sets, each containing a variable number of elements. Existing methods often rely on intricate architectures with…
Inspired by Strotz's consistent planning strategy, we formulate the infinite horizon mean-variance stopping problem as a subgame perfect Nash equilibrium in order to determine time consistent strategies with no regret. Equilibria among…
This paper is concerned with the uniqueness issue of open-loop equilibrium investment strategies of dynamic mean-variance portfolio selection problems with random coefficients. A unified method is developed to treat both the problems with…
We propose a new approach to solving dynamic decision problems with rewards that are unbounded below. The approach involves transforming the Bellman equation in order to convert an unbounded problem into a bounded one. The major advantage…
We consider the stochastic optimal control problem of nonlinear mean-field systems in discrete time. We reformulate the problem into a deterministic control problem with marginal distribution as controlled state variable, and prove that…
In this paper, we consider a formulation of nonlinear constrained optimization problems. We reformulate it as a time-varying optimization using continuous-time parametric functions and derive a dynamical system for tracking the optimal…
The portfolio optimisation problem, first raised by Harry Markowitz in 1952, has been a fundamental and central topic to understanding the stock market and making decisions. There has been plenty of works contributing to development of the…
Time series momentum strategies are widely applied in the quantitative financial industry and its academic research has grown rapidly since the work of Moskowitz, Ooi and Pedersen (2012). However, trading signals are usually obtained via…
This paper studies a continuous-time market where an agent, having specified an investment horizon and a targeted terminal mean return, seeks to minimize the variance of the return. The optimal portfolio of such a problem is called…