Related papers: Duality in optimal consumption--investment problem…
This paper studies robust forward investment and consumption preferences and optimal strategies for a risk-averse and ambiguity-averse agent in an incomplete financial market with drift and volatility uncertainties. We focus on non-zero…
We consider the task of filtering a dynamic parameter evolving as a diffusion process, given data collected at discrete times from a likelihood which is conjugate to the marginal law of the diffusion, when a generic dual process on a…
This paper intends to apply the Hidden Markov Model into stock market and and make predictions. Moreover, four different methods of improvement, which are GMM-HMM, XGB-HMM, GMM-HMM+LSTM and XGB-HMM+LSTM, will be discussed later with the…
Regime-switching models, in particular Hidden Markov Models (HMMs) where the switching is driven by an unobservable Markov chain, are widely-used in financial applications, due to their tractability and good econometric properties. In this…
Efficient markets are characterised by profit-driven participants continuously refining their positions towards the latest insights. Margins for profit generation are generally small, shaping a difficult landscape for automated trading…
We consider an investor facing a classical portfolio problem of optimal investment in a log-Brownian stock and a fixed-interest bond, but constrained to choose portfolio and consumption strategies that reduce a dynamic shortfall risk…
Exact inference for hidden Markov models requires the evaluation of all distributions of interest - filtering, prediction, smoothing and likelihood - with a finite computational effort. This article provides sufficient conditions for exact…
We consider an optimal investment and consumption problem for a Black-Scholes financial market with stochastic coefficients driven by a diffusion process. We assume that an agent makes consumption and investment decisions based on CRRA…
We study a dynamic information design problem in a finite-horizon setting consisting of two strategic and long-term optimizing agents, namely a principal (he) and a detector (she). The principal observes the evolution of a Markov chain that…
In this article we consider the optimal investment-consumption problem for an agent with preferences governed by Epstein-Zin stochastic differential utility who invests in a constant-parameter Black-Scholes-Merton market. The paper has…
Cross-layer scheduling is a promising way to improve Quality of Service (QoS) given a power constraint. In this paper, we investigate the system with random data arrival and adaptive transmission. Probabilistic scheduling strategies aware…
We study the problem of a profit maximizing electricity producer who has to pay carbon taxes and who decides on investments into technologies for the abatement of carbon emissions in an environment where carbon tax policy is random and…
We study the stochastic control problem of maximizing expected utility from terminal wealth under a non-bankruptcy constraint. The wealth process is subject to shocks produced by a general marked point process. The problem of the agent is…
Suppose an online platform wants to compare a treatment and control policy, e.g., two different matching algorithms in a ridesharing system, or two different inventory management algorithms in an online retail site. Standard randomized…
This paper studies a type of consumption preference where some adjustment costs are incured whenever the past spending maximum and the past spending minimum records are updated. This preference can capture the adverse effects of the…
Optimal liquidation of an asset with unknown constant drift and stochastic regime-switching volatility is studied. The uncertainty about the drift is represented by an arbitrary probability distribution; the stochastic volatility is…
Dual risk models are popular for modeling a venture capital or high tech company, for which the running cost is deterministic and the profits arrive stochastically over time. Most of the existing literature on dual risk models concentrated…
The aim of this short note is to present a solution to the discrete time exponential utility maximization problem in a case where the underlying asset has a multivariate normal distribution. In addition to the usual setting considered in…
Covert planning refers to a class of constrained planning problems where an agent aims to accomplish a task with minimal information leaked to a passive observer to avoid detection. However, existing methods of covert planning often…
Controllable Markov chains describe the dynamics of sequential decision making tasks and are the central component in optimal control and reinforcement learning. In this work, we give the general form of an optimal policy for learning…