Related papers: Risk Measures for DC Pension Plan Decumulation
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The exploration-exploitation (EE) trade-off is a central challenge in reinforcement learning (RL) for large language models (LLMs). With Group Relative Policy Optimization (GRPO), training tends to be exploitation driven: entropy decreases…
In this paper, we investigate the features and the performance of the Risk Parity (RP) portfolios using the Mean Absolute Deviation (MAD) as a risk measure. The RP model is a recent strategy for asset allocation that aims at equally sharing…
We develop a Monte-Carlo based numerical method for solving discrete-time stochastic optimal control problems with inventory. These are optimal control problems in which the control affects only a deterministically evolving inventory…
Throughout this paper, we focused our aim on the problem of optimal control under a risk-sensitive performance functional, where the system is given by a fully coupled forward-backward stochastic differential equation with jump. The risk…
We study the stochastic multi-armed bandit problem and design new policies that enjoy both worst-case optimality for expected regret and light-tailed risk for regret distribution. Specifically, our policy design (i) enjoys the worst-case…
We provide analytical results for a static portfolio optimization problem with two coherent risk measures. The use of two risk measures is motivated by joint decision-making for portfolio selection where the risk perception of the portfolio…
This article proposes and evaluates a new safety concept called backup plan safety for path planning of autonomous vehicles under mission uncertainty using model predictive control (MPC). Backup plan safety is defined as the ability to…
Efficient methods to provide sub-optimal solutions to non-convex optimization problems with knowledge of the solution's sub-optimality would facilitate the widespread application of nonlinear optimal control algorithms. To that end,…
The paper concerns the study of equilibrium points, or steady states, of economic systems arising in modeling optimal investment with \textit{vintage capital}, namely, systems where all key variables (capitals, investments, prices) are…
We present a framework for safety-critical optimal control of physical systems based on denoising diffusion probabilistic models (DDPMs). The technology of control barrier functions (CBFs), encoding desired safety constraints, is used in…
The aim of this paper is to compare two asset allocation methods for a pension scheme during the decumulation phase in the simplified portfolio selection between a risky asset following a geometric Brownian motion and a riskless asset. The…
When a source-trained model $Q$ is replaced by a model $\tilde{Q}$ trained on shifted data, its performance on the source domain can change unpredictably. To address this, we study the two-model risk change, $\Delta R := R_P(\tilde{Q}) -…
This paper researches the problem of purchasing deferred term insurance in the context of financial planning to maximize the probability of achieving a personal financial goal. Specifically, our study starts from the perspective of hedging…
We present a new, tractable method for solving and analyzing risk-aware control problems over finite and infinite, discounted time-horizons where the dynamics of the controlled process are described as a martingale problem. Supposing…
This paper presents a distributed model predictive control (DMPC) algorithm for heterogeneous vehicle platoons with unidirectional topologies and a priori unknown desired set point. The vehicles (or nodes) in a platoon are dynamically…
Accounting for model uncertainty in risk management and option pricing leads to infinite dimensional optimization problems which are both analytically and numerically intractable. In this article we study when this hurdle can be overcome…
This paper studies convergence properties of optimal values and actions for discounted and average-cost Markov Decision Processes (MDPs) with weakly continuous transition probabilities and applies these properties to the stochastic…
Trajectory optimization is a fundamental stochastic optimal control problem. This paper deals with a trajectory optimization approach for dynamical systems subject to measurement noise that can be fitted into linear time-varying stochastic…
The field of risk theory has traditionally focused on ruin-related quantities. In particular, the socalled Expected Discounted Penalty Function has been the object of a thorough study over the years. Although interesting in their own right,…