Related papers: Acceptability maximization
This article studies a portfolio optimization problem, where the market consisting of several stocks is modeled by a multi-dimensional jump-diffusion process with age-dependent semi-Markov modulated coefficients. We study risk sensitive…
Following the recent resurgence in establishing linear control theoretic benchmarks for reinforcement leaning (RL)-based policy optimization (PO) for complex dynamical systems with continuous state and action spaces, an optimal control…
We investigate the portfolio execution problem under a framework in which volatility and liquidity are both uncertain. In our model, we assume that a multidimensional Markovian stochastic factor drives both of them. Moreover, we model…
This article considers the problem of risk-optimal allocation of security measures when the actuators of an uncertain control system are under attack. We consider an adversary injecting false data into the actuator channels. The attack…
The design of informatively rich input signals is essential for accurate system identification, yet classical Fisher-information-based methods are inherently local and often inadequate in the presence of significant model uncertainty and…
Instead of controlling "symmetric" risks measured by central moments of investment return or terminal wealth, more and more portfolio models have shifted their focus to manage "asymmetric" downside risks that the investment return is below…
With the emergence of precision medicine, estimating optimal individualized decision rules (IDRs) has attracted tremendous attention in many scientific areas. Most existing literature has focused on finding optimal IDRs that can maximize…
There are no computationally feasible algorithms that provide solutions to the finite horizon Risk-sensitive Constrained Markov Decision Process (Risk-CMDP) problem, even for problems with moderate horizon. With an aim to design the same,…
Science and technology have a growing need for effective mechanisms that ensure reliable, controlled performance from black-box machine learning algorithms. These performance guarantees should ideally hold conditionally on the input-that is…
Indices of acceptability are well suited to frame the axiomatic features of many performance measures, associated to terminal random cash flows.We extend this notion to classes of c\`adl\`ag processes modelling cash flows over a fixed…
This paper considers the optimal portfolio selection problem in a dynamic multi-period stochastic framework with regime switching. The risk preferences are of exponential (CARA) type with an absolute coefficient of risk aversion which…
Risk control and optimal diversification constitute a major focus in the finance and insurance industries as well as, more or less consciously, in our everyday life. We present a discussion of the characterization of risks and of the…
In this paper, we present a discretization algorithm for finite horizon risk constrained dynamic programming algorithm in [Chow_Pavone_13]. Although in a theoretical standpoint, Bellman's recursion provides a systematic way to find optimal…
We revisit the online dynamic acknowledgment problem. In the problem, a sequence of requests arrive over time to be acknowledged, and all outstanding requests can be satisfied simultaneously by one acknowledgement. The goal of the problem…
We investigate the adaptive robust control framework for portfolio optimization and loss-based hedging under drift and volatility uncertainty. Adaptive robust problems offer many advantages but require handling a double optimization problem…
Risk management is very important for individual investors or companies. There are many ways to measure the risk of investment. Prices of risky assets vary rapidly and randomly due to the complexity of finance market. Random interval is a…
This paper investigates the critical-time criteria as a security metric for controlled systems subject to sharp input anomalies (attack, fault), characterized by having high impact in a reduced amount of time (e.g. denial-of-service, attack…
We study optimal investment problem for a diffusion market consisting of a finite number of risky assets (for example, bonds, stocks and options). Risky assets evolution is described by Ito's equation, and the number of risky assets can be…
We study a static portfolio optimization problem with two risk measures: a principle risk measure in the objective function and a secondary risk measure whose value is controlled in the constraints. This problem is of interest when it is…
We have developed a novel risk management measure called the concentration risk indicator (CRI). The CRI has been created to address drawbacks with prevailing methodologies and to supplement existing methods. Modified and adapted from the…