Related papers: Non-concave expected utility optimization with unc…
We investigate approximately optimal mechanisms in settings where bidders' utility functions are non-linear; specifically, convex, with respect to payments (such settings arise, for instance, in procurement auctions for energy). We provide…
Stability of the utility maximization problem with random endowment and indifference prices is studied for a sequence of financial markets in an incomplete Brownian setting. Our novelty lies in the nonequivalence of markets, in which the…
A novel robust nonlinear model predictive control strategy is proposed for systems with nonlinear dynamics and convex state and control constraints. Using a sequential convex approximation approach and a difference of convex functions…
We consider the estimation of the multi-period optimal portfolio obtained by maximizing an exponential utility. Employing Jeffreys' non-informative prior and the conjugate informative prior, we derive stochastic representations for the…
For discrete time nonlinear systems satisfying an exponential or finite time controllability assumption, we present an analytical formula for a suboptimality estimate for model predictive control schemes without stabilizing terminal…
This article considers nonconvex global optimization problems subject to uncertainties described by continuous random variables. Such problems arise in chemical process design, renewable energy systems, stochastic model predictive control,…
In this paper, we study the problem of expected utility maximization of an agent who, in addition to an initial capital, receives random endowments at maturity. Contrary to previous studies, we treat as the variables of the optimization…
This paper investigates optimal portfolio strategies in a financial market where the drift of the stock returns is driven by an unobserved Gaussian mean reverting process. Information on this process is obtained from observing stock returns…
We study the expected utility maximization problem of a large investor who is allowed to make transactions on tradable assets in an incomplete financial market with endogenous permanent market impacts. The asset prices are assumed to follow…
We propose a Model Predictive Control (MPC) with a single-step prediction horizon to approximate the solution of infinite horizon optimal control problems with the expected sum of convex stage costs for constrained linear uncertain systems.…
We develop a framework for convexifying a fairly general class of optimization problems. Under additional assumptions, we analyze the suboptimality of the solution to the convexified problem relative to the original nonconvex problem and…
Model predictive control (MPC) schemes are commonly designed with fixed, i.e., time-invariant, horizon length and cost functions. If no stabilizing terminal ingredients are used, stability can be guaranteed via a sufficiently long horizon.…
We extend and test empirically the multifractal model of asset returns based on a multiplicative cascade of volatilities from large to small time scales. The multifractal description of asset fluctuations is generalized into a multivariate…
Real-world three-phase microgrids face two interconnected challenges: 1. time-varying uncertainty from renewable generation and demand, and 2. persistent phase imbalances caused by uneven distributed energy resources DERs, load asymmetries,…
We study the problem of optimal portfolio selection in an illiquid market with discrete order flow. In this market, bids and offers are not available at any time but trading occurs more frequently near a terminal horizon. The investor can…
Randomized Uphill Climbing is a lightweight, stochastic search heuristic that has delivered state of the art equity alpha factors for quantitative hedge funds. I propose to generalize RUC into a model agnostic feature optimization framework…
We consider an optimal investment-consumption problem for a utility-maximizing investor who has access to assets with different liquidity and whose consumption rate as well as terminal wealth are subject to lower-bound constraints. Assuming…
In this article we consider an optimization problem of expected utility maximization of continuous-time trading in a financial market. This trading is constrained by a benchmark for a utility-based shortfall risk measure. The market…
This paper analyzes a problem of optimal static hedging using derivatives in incomplete markets. The investor is assumed to have a risk exposure to two underlying assets. The hedging instruments are vanilla options written on a single…
We propose a novel portfolio selection approach that manages to ease some of the problems that characterise standard expected utility maximisation. The optimal portfolio is no longer defined as the extremum of a suitably chosen utility…