Related papers: Mean-variance portfolio selection with dynamic att…
A regularized vector autoregressive hidden semi-Markov model is developed to analyze multivariate financial time series with switching data generating regimes. Furthermore, an augmented EM algorithm is proposed for parameter estimation by…
This paper concerns the continuous time mean-variance portfolio selection problem with a special nonlinear wealth equation. This nonlinear wealth equation has a nonsmooth coefficient and the dual method developed in [6] does not work. We…
This study investigates an optimal consumption--investment problem in which the unobserved stock trend is modulated by a hidden Markov chain that represents different economic regimes. In the classical approach, the hidden state is…
We develop a stochastic approximation-type algorithm to solve finite state/action, infinite-horizon, risk-aware Markov decision processes. Our algorithm has two loops. The inner loop computes the risk by solving a stochastic saddle-point…
Merton portfolio management problem is studied in this paper within a stochastic volatility, non constant time discount rate, and power utility framework. This problem is time inconsistent and the way out of this predicament is to consider…
We consider the life-cycle optimal portfolio choice problem faced by an agent receiving labor income and allocating her wealth to risky assets and a riskless bond subject to a borrowing constraint. In this paper, to reflect a realistic…
In this paper we solve the discrete time mean-variance hedging problem when asset returns follow a multivariate autoregressive hidden Markov model. Time dependent volatility and serial dependence are well established properties of financial…
Attention control is a key cognitive ability for humans to select information relevant to the current task. This paper develops a computational model of attention and an algorithm for attention-based probabilistic planning in Markov…
We investigate joint optimization on information acquisition and portfolio selection within a Bayesian adaptive framework. The investor dynamically controls the precision of a private signal and incurs costs while updating her belief about…
Motivated by practical applications, we explore the constrained multi-period mean-variance portfolio selection problem within a market characterized by a dynamic factor model. This model captures predictability in asset returns driven by…
This paper addresses the portfolio selection problem for nonlinear law-dependent preferences in continuous time, which inherently exhibit time inconsistency. Employing the method of stochastic maximum principle, we establish verification…
Portfolio selection in the periodic investment of securities modeled by a multivariate Merton model with dependent jumps is considered. The optimization framework is designed to maximize expected terminal wealth when portfolio risk is…
We extend the classical mean-variance (MV) framework and propose a robust and sparse portfolio selection model incorporating an ellipsoidal uncertainty set to reduce the impact of estimation errors and fixed transaction costs to penalize…
This paper presents how the most recent improvements made on covariance matrix estimation and model order selection can be applied to the portfolio optimisation problem. The particular case of the Maximum Variety Portfolio is treated but…
This paper first describes a class of uncertain stochastic control systems with Markovian switching, and derives an It\^o-Liu formula for Markov-modulated processes. And we characterize an optimal control law, which satisfies the…
This paper concerns a continuous time mean-variance (MV) portfolio selection problem in a jump-diffusion financial model with no-shorting trading constraint. The problem is reduced to two subproblems: solving a stochastic linear-quadratic…
We define an evolving in-time Bayesian neural network called a Hidden Markov Neural Network, which addresses the crucial challenge in time-series forecasting and continual learning: striking a balance between adapting to new data and…
We consider an augmented version of Merton's portfolio choice problem, where trading by large investors influences the price of underlying financial asset leading to strategic interaction among investors, with investors deciding their…
The classical mean-variance portfolio selection problem induces time-inconsistent (precommited) strategies (see Zhou and Li (2000)). To overcome this time-inconsistency, Basak and Chabakauri (2010) introduce the game theoretical approach…
The hidden Markov model (HMM) provides a powerful framework for inference in time-varying environments, where the underlying state evolves according to a Markov chain. To address the optimal filtering problem in general dynamic settings, we…