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Portfolio construction is the science of balancing reward and risk; it is at the core of modern finance. In this paper, we tackle the question of optimal decision-making within a Bayesian paradigm, starting from a decision-theoretic…
We consider the problem of reducing the carbon emissions of a set of firms over a finite horizon. A regulator dynamically allocates emission allowances to each firm. Firms face idiosyncratic as well as common economic shocks on emissions,…
We consider the problem of learning about and comparing the consequences of dynamic treatment strategies on the basis of observational data. We formulate this within a probabilistic decision-theoretic framework. Our approach is compared…
In stochastic optimal control, change of measure arguments have been crucial for stochastic analysis. Such an approach is often called static reduction in dynamic team theory (or decentralized stochastic control) and has been an effective…
In recent years, it has become apparent that an isolated microprudential approach to capital adequacy requirements of individual institutions is insufficient. It can increase the homogeneity of the financial system and ultimately the cost…
We solve a version of the optimal trade execution problem when the mid asset price follows a displaced diffusion. Optimal strategies in the adapted class under various risk criteria, namely value-at-risk, expected shortfall and a new…
We propose a robust risk measurement approach that minimizes the expectation of overestimation plus underestimation costs. We consider uncertainty by taking the supremum over a collection of probability measures, relating our approach to…
This paper proposes a new formulation for the dynamic resource allocation problem, which converts the traditional MDP model with known parameters and no capacity constraints to a new model with uncertain parameters and a resource capacity…
Capital accumulation has been a major issue in fisheries economics over the last two decades, whereby the interaction of the fish and capital stocks were of particular interest. Because bio-economic systems are intrinsically complex,…
We study dynamic risk measures in a very general framework enabling to model uncertainty and processes with jumps. We previously showed the existence of a canonical equivalence class of probability measures hidden behind a given set of…
In recent years, great emphasis has been placed on the prediction of association football. Due to this, several studies have proposed different types of statistical models to predict the outcome of a football match. However, most existing…
We study the design of optimal allocation mechanisms in an environment where agents and goods arrive stochastically. Agents have private types that determine the principal payoff. Either agents or goods can be held in a queue at a flow cost…
Active learning is usually applied to acquire labels of informative data points in supervised learning, to maximize accuracy in a sample-efficient way. However, maximizing the accuracy is not the end goal when the results are used for…
Estimation of high dimensional covariance matrices is an interesting and important research topic. In this paper, we propose a dynamic structure and develop an estimation procedure for high dimensional covariance matrices. Asymptotic…
We design an optimal strategy for investment in a portfolio of assets subject to a multiplicative Brownian motion. The strategy provides the maximal typical long-term growth rate of investor's capital. We determine the optimal fraction of…
This paper develops a polyhedral approach to the design, analysis, and computation of dynamic allocation indices for scheduling binary-action (engage/rest) Markovian stochastic projects which can change state when rested (restless bandits…
How an economic agent (a firm, an investor or a financial market) evaluates a contingent claim, say a European type of derivatives X, with maturity t? In this paper we study a mechanism of dynamic expectations and evaluations. We give the…
This paper gives an overview of the theory of dynamic convex risk measures for random variables in discrete time setting. We summarize robust representation results of conditional convex risk measures, and we characterize various time…
In many sequential decision-making problems we may want to manage risk by minimizing some measure of variability in rewards in addition to maximizing a standard criterion. Variance related risk measures are among the most common…
This paper considers the use for Value-at-Risk computations of the so-called Beta-Kotz distribution based on a general family of distributions including the classical Gaussian model. Actually, this work develops a new method for estimating…