Related papers: Asset liability management under sequential stocha…
This contribution examines optimization problems that involve stochastic dominance constraints. These problems have uncountably many constraints. We develop methods to solve the optimization problem by reducing the constraints to a finite…
We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in…
Previous literature shows that prevalent risk measures such as Value at Risk or Expected Shortfall are ineffective to curb excessive risk-taking by a tail-risk-seeking trader with S-shaped utility function in the context of portfolio…
We consider an optimal investment and risk control problem for an insurer under the mean-variance (MV) criterion. By introducing a deterministic auxiliary process defined forward in time, we formulate an alternative time-consistent problem…
This paper deals with shape optimization for elastic materials under stochastic loads. It transfers the paradigm of stochastic dominance, which allows for flexible risk aversion via comparison with benchmark random variables, from…
This paper considers the constrained portfolio optimization in a generalized life-cycle model. The individual with a stochastic income manages a portfolio consisting of stocks, a bond, and life insurance to maximize his or her consumption…
A novel procedure is presented for the objective comparison and evaluation of a bank's decision rules in optimising the timing of loan recovery. This procedure is based on finding a delinquency threshold at which the financial loss of a…
This paper considers a class of stochastic control problems with implicitly defined objective functions, which are the sources of time-inconsistency. We study the closed-loop equilibrium solutions in a general controlled diffusion…
This article extends the optimal covariance steering (CS) problem for discrete time linear stochastic systems modeled using moment-based ambiguity sets. To hedge against the uncertainty in the state distributions while performing covariance…
Multistage risk-averse optimal control problems with nested conditional risk mappings are gaining popularity in various application domains. Risk-averse formulations interpolate between the classical expectation-based stochastic and minimax…
We consider a bilevel continuous knapsack problem where the leader controls the capacity of the knapsack, while the follower chooses a feasible packing maximizing his own profit. The leader's aim is to optimize a linear objective function…
This paper investigates a continuous-time portfolio optimization problem with the following features: (i) a no-short selling constraint; (ii) a leverage constraint, that is, an upper limit for the sum of portfolio weights; and (iii) a…
In this paper we address the class of Sequential Decision Making (SDM) problems that are characterized by time-varying parameters. These parameter dynamics are either pre-specified or manipulable. At any given time instant the decision…
We consider covariance control problems for nonlinear stochastic systems. Our objective is to find an optimal control strategy to steer the state from an initial distribution to a terminal one with specified mean and covariance. This…
This paper studies the problem of optimally allocating a cash injection into a financial system in distress. Given a one-period borrower-lender network in which all debts are due at the same time and have the same seniority, we address the…
Many relevant problems in the area of systems and control, such as controller synthesis, observer design and model reduction, can be viewed as optimization problems involving dynamical systems: for instance, maximizing performance in the…
This paper focuses on linearisation techniques for a class of mixed singular/continuous control problems and ensuing algorithms. The motivation comes from (re)insurance problems with reserve-dependent premiums with Cram{\'e}r-Lundberg…
In this paper, we consider a class of stochastic optimal control problems with risk constraints that are expressed as bounded probabilities of failure for particular initial states. We present here a martingale approach that diffuses a risk…
This paper presents a distributed stochastic model predictive control (SMPC) approach for large-scale linear systems with private and common uncertainties in a plug-and-play framework. Using the so-called scenario approach, the centralized…
The paper considers the optimal control problem of inventory of a discrete product in regeneration scheme with a Poisson flow of customer requirements. In the system deferred demand is allowed, the volume of which is limited by a given…