Related papers: Preference Robust Modified Optimized Certainty Equ…
A fundamental question in data-driven decision making is how to quantify the uncertainty of predictions in ways that can usefully inform downstream action. This interface between prediction uncertainty and decision-making is especially…
We study risk-sensitive RL where the goal is learn a history-dependent policy that optimizes some risk measure of cumulative rewards. We consider a family of risks called the optimized certainty equivalents (OCE), which captures important…
We give explicit solutions for utility maximization of terminal wealth problem $u(X_T)$ in the presence of Knightian uncertainty in continuous time $[0,T]$ in a complete market. We assume there is uncertainty on both drift and volatility of…
Robust optimization is a very popular means to address decision-making problems affected by uncertainty. Its success has been fueled by its attractive robustness and scalability properties, by ease of modeling, and by the limited…
Budgeted uncertainty sets have been established as a major influence on uncertainty modeling for robust optimization problems. A drawback of such sets is that the budget constraint only restricts the global amount of cost increase that can…
Classical mean-variance portfolio theory tells us how to construct a portfolio of assets which has the greatest expected return for a given level of return volatility. Utility theory then allows an investor to choose the point along this…
Optimization of distortion riskmetrics with distributional uncertainty has wide applications in finance and operations research. Distortion riskmetrics include many commonly applied risk measures and deviation measures, which are not…
In robust combinatorial optimization, we would like to find a solution that performs well under all realizations of an uncertainty set of possible parameter values. How we model this uncertainty set has a decisive influence on the…
Recoverable robust optimization is a multi-stage approach, where it is possible to adjust a first-stage solution after the uncertain cost scenario is revealed. We analyze this approach for a class of selection problems. The aim is to choose…
Robust design of autonomous systems under uncertainty is an important yet challenging problem. This work proposes a robust controller that consists of a state estimator and a tube based predictive control law. The class of linear systems…
Most work in mechanism design assumes that buyers are risk neutral; some considers risk aversion arising due to a non-linear utility for money. Yet behavioral studies have established that real agents exhibit risk attitudes which cannot be…
We study a robust utility maximization problem in the unbounded case with a general penalty term and information including jumps. We focus on time consistent penalties and we prove that there exists an optimal probability measure solution…
Distributionally robust optimization is used to tackle decision making problems under uncertainty where the distribution of the uncertain data is ambiguous. Many ambiguity sets have been proposed for continuous uncertainty that build on…
We consider robust utility maximisation in continuous-time financial markets with proportional transaction costs under model uncertainty. For this purpose, we work in the framework of Chau and R\'asonyi (2019), where robustness is achieved…
We analyze an optimal stopping problem with a series of inequality-type and equality-type expectation constraints in a general non-Markovian framework. We show that the optimal stopping problem with expectation constraints (OSEC) in an…
We study issues of robustness in the context of Quantitative Risk Management and Optimization. We develop a general methodology for determining whether a given risk measurement related optimization problem is robust, which we call…
Classic decision-theory is based on the maximum expected utility (MEU) principle, but crucially ignores the resource costs incurred when determining optimal decisions. Here we propose an axiomatic framework for bounded decision-making that…
In this paper we investigate a utility maximization problem with drift uncertainty in a multivariate continuous-time Black-Scholes type financial market which may be incomplete. We impose a constraint on the admissible strategies that…
We extend well-known comparative results under expected utility to models of non-expected utility by providing novel conditions on local utility functions. We illustrate how our results parallel, and are distinct from, existing results for…
This paper investigates a specific class of nonsmooth nonconvex optimization problems in the face of data uncertainty, namely, robust optimization problems, where the given objective function can be expressed as a difference of two…