Related papers: Acceptability maximization
Though switched dynamical systems have shown great utility in modeling a variety of physical phenomena, the construction of an optimal control of such systems has proven difficult since it demands some type of optimal mode scheduling. In…
This article extends the optimal covariance steering (CS) problem for discrete time linear stochastic systems modeled using moment-based ambiguity sets. To hedge against the uncertainty in the state distributions while performing covariance…
A method for calculating multi-portfolio time consistent multivariate risk measures in discrete time is presented. Market models for $d$ assets with transaction costs or illiquidity and possible trading constraints are considered on a…
The portfolio optimization problem is a critical issue in asset management and has long been studied. Markowitz's mean-variance model has fundamental limitations, such as the assumption of a normal distribution for returns and sensitivity…
CVaR (Conditional Value at Risk) is a risk metric widely used in finance. However, dynamically optimizing CVaR is difficult since it is not a standard Markov decision process (MDP) and the principle of dynamic programming fails. In this…
Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) are popular risk measures from academic, industrial and regulatory perspectives. The problem of minimizing CVaR is theoretically known to be of Neyman-Pearson type binary solution. We…
Optimal execution of a portfolio have been a challenging problem for institutional investors. Traders face the trade-off between average trading price and uncertainty, and traditional methods suffer from the curse of dimensionality. Here,…
In this paper we investigate a new class of growth rate maximization problems based on impulse control strategies such that the average number of trades per time unit does not exceed a fixed level. Moreover, we include proportional…
We study a discrete-time multi-period portfolio optimization problem under an explicit constraint on the Deviation Conditional Value-at-Risk (DCVaR), defined as the excess of Conditional Value-at-Risk over expected terminal wealth. The…
Solving the Hamilton-Jacobi-Bellman equation is important in many domains including control, robotics and economics. Especially for continuous control, solving this differential equation and its extension the Hamilton-Jacobi-Isaacs…
This paper considers consumption and portfolio optimization problems with recursive preferences in both infinite and finite time regions. Specially, the financial market consists of a risk-free asset and a risky asset that follows a general…
When sales of a product are affected by randomness in demand, retailers can use dynamic pricing strategies to maximise their profits. In this article the pricing problem is formulated as a stochastic optimal control problem, where the…
We propose DeepAries , a novel deep reinforcement learning framework for dynamic portfolio management that jointly optimizes the timing and allocation of rebalancing decisions. Unlike prior reinforcement learning methods that employ fixed…
We investigate how and when to diversify capital over assets, i.e., the portfolio selection problem, from a signal processing perspective. To this end, we first construct portfolios that achieve the optimal expected growth in i.i.d.…
This paper studies an optimal control problem for continuous-time stochastic systems subject to reachability objectives specified in a subclass of metric interval temporal logic specifications, a temporal logic with real-time constraints.…
A risk measure that is consistent with the second-order stochastic dominance and additive for sums of independent random variables can be represented as a weighted entropic risk measure (WERM). The expected utility maximization problem with…
In this paper, we propose a generalized successive approximation method (SAM), called invariantly admissible policy iteration (PI), for finding the solution to a class of input-affine nonlinear optimal control problems by iterations. Unlike…
Portfolio optimization is an important process in finance that consists in finding the optimal asset allocation that maximizes expected returns while minimizing risk. When assets are allocated in discrete units, this is a combinatorial…
In this paper we propose the notion of continuous-time dynamic spectral risk-measure (DSR). Adopting a Poisson random measure setting, we define this class of dynamic coherent risk-measures in terms of certain backward stochastic…
We study the feasibility and noise sensitivity of portfolio optimization under some downside risk measures (Value-at-Risk, Expected Shortfall, and semivariance) when they are estimated by fitting a parametric distribution on a finite sample…