Related papers: Asset liability management under sequential stocha…
In this paper, we consider the asset-liability management under the mean-variance criterion. The financial market consists of a risk-free bond and a stock whose price process is modeled by a geometric Brownian motion. The liability of the…
In this paper, we consider a risk-averse decision problem for controlled-diffusion processes, with dynamic risk measures, in which there are two risk-averse decision makers (i.e., {\it leader} and {\it follower}) with different risk-averse…
Supply chain disruptions and volatile demand pose significant challenges to the UK automotive industry, which relies heavily on Just-In-Time (JIT) manufacturing. While qualitative studies highlight the potential of integrating Artificial…
We consider a class of stochastic optimal control problems for discrete-time stochastic linear systems which seek for control policies that will steer the probability distribution of the terminal state of the system close to a desired…
Consider the problem of minimizing the expected value of a (possibly nonconvex) cost function parameterized by a random (vector) variable, when the expectation cannot be computed accurately (e.g., because the statistics of the random…
In this paper we introduce a novel approach to distributionally robust optimal control that supports online learning of the ambiguity set, while guaranteeing recursive feasibility. We introduce conic representable risk, which is useful to…
The classical Method of Successive Approximations (MSA) is an iterative method for solving stochastic control problems and is derived from Pontryagin's optimality principle. It is known that the MSA may fail to converge. Using careful…
Truckload procurement plays a vital role in integrated container logistics, particularly under the uncertainties of container flow and market conditions. We formulate the operational volume allocation problem in drayage procurement as a…
This work is concerned with the finite-horizon optimal covariance steering of networked systems governed by discrete-time stochastic linear dynamics. In contrast with existing work that has only considered systems with dynamically decoupled…
This work studies a stochastic optimal control problem for a pension scheme which provides an income-drawdown policy to its members after their retirement. To manage the scheme efficiently, the manager and members agree to share the…
We consider an optimal investment-consumption problem for a utility-maximizing investor who has access to assets with different liquidity and whose consumption rate as well as terminal wealth are subject to lower-bound constraints. Assuming…
We study an asset allocation stochastic problem with restriction for a defined-contribution pension plan during the accumulation phase. We consider a financial market with stochastic interest rate, composed of a risk-free asset, a real zero…
This paper extends the optimal covariance steering problem for linear stochastic systems subject to chance constraints to account for optimal risk allocation. Previous works have assumed a uniform risk allocation to cast the optimal control…
We present a novel approach for the bank's decision problem, incorporating Limited Liability in the objective function. Accordingly, we consider continuous time models, with and without Limited Liability. We compare the solutions of these…
This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first dimension covers liability liquidity risk (or funding liquidity) modeling, the second…
This paper deals with partially-observed optimal control problems for the state governed by stochastic differential equation with delay. We develop a stochastic maximum principle for this kind of optimal control problems using a variational…
The aim of this paper is to introduce a synthetic ALM model that catches the main specificity of life insurance contracts. First, it keeps track of both market and book values to apply the regulatory profit sharing rule. Second, it…
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…
For long term investments, model portfolios are defined at the level of indexes, a setup known as Strategic Asset Allocation (SAA). The possible outcomes at a scale of a few decades can be obtained by Monte Carlo simulations, resulting in a…
In this paper, we propose a new methodology for state constrained stochastic optimal control (SOC) problems. The solution is based on past work in solving SOC problems using forward-backward stochastic differential equations (FBSDE). Our…