Related papers: Asset liability management under sequential stocha…
A problem of optimal debt management is modeled as a noncooperative game between a borrower and a pool of lenders, in infinite time horizon with exponential discount. The yearly income of the borrower is governed by a stochastic process.…
A continuous-time financial portfolio selection model with expected utility maximization typically boils down to solving a (static) convex stochastic optimization problem in terms of the terminal wealth, with a budget constraint. In…
Analysis of asset liability management (ALM) strategies especially for long term horizon is a crucial issue for banks, funds and insurance companies. Modern economic models, investment strategies and optimization criteria make ALM studies…
In this paper, we study two optimisation settings for an insurance company, under the constraint that the terminal surplus at a deterministic and finite time $T$ follows a normal distribution with a given mean and a given variance. In both…
We provide a novel characterization of the $n$-th degree bounded stochastic dominance (BSD) order, linking it to the risk tolerance of decision-makers and providing a decision-theoretic foundation for these stochastic orders. Our results…
The challenging problem of conducting fully Bayesian inference for the reaction rate constants governing stochastic kinetic models (SKMs) is considered. Given the challenges underlying this problem, the Markov jump process representation is…
We study two-stage stochastic optimization problems with random recourse, where the adaptive decisions are multiplied with the uncertain parameters in both the objective function and the constraints. To mitigate the computational…
This paper addresses a risk-constrained decentralized stochastic linear-quadratic optimal control problem with one remote controller and one local controller, where the risk constraint is posed on the cumulative state weighted variance in…
Stochastic dominance is a fundamental concept in decision-making under uncertainty and quantitative finance, yet its practical application is hindered by computational intractability due to infinitely many constraints. We introduce the…
We consider bilevel linear problems, where some parameters are stochastic, and the leader has to decide in a here-and-now fashion, while the follower has complete information. In this setting, the leader's outcome can be modeled by a random…
Based on the stochastic maximum principle for the partially coupled forward-backward stochastic control system (FBSCS for short), a modified method of successive approximations (MSA for short) is established for stochastic recursive optimal…
In this paper, we revisit the multistage spectral risk minimization models proposed by Philpott et al.~\cite{PdF13} and Guigues and R\"omisch \cite{GuR12} but with some new focuses. We consider a situation where the decision maker's (DM's)…
The presented work addresses two-stage stochastic programs (2SPs), a broadly applicable model to capture optimization problems subject to uncertain parameters with adjustable decision variables. In case the adjustable or second-stage…
Asset custody is a core financial service in which the custodian holds in-safekeeping assets on behalf of the client. Although traditional custody service is typically endorsed by centralized authorities, decentralized custody scheme has…
In performative stochastic optimization, decisions can influence the distribution of random parameters, rendering the data-generating process itself decision-dependent. In practice, decision-makers rarely have access to the true…
We study the feasibility and noise sensitivity of portfolio optimization under some downside risk measures (Value-at-Risk, Expected Shortfall, and semivariance) when they are estimated by fitting a parametric distribution on a finite sample…
We consider an investor who seeks to maximize her expected utility derived from her terminal wealth relative to the maximum performance achieved over a fixed time horizon, and under a portfolio drawdown constraint, in a market with local…
This paper proposes a new method for financial portfolio optimization based on reducing simultaneous asset shocks across a collection of assets. This may be understood as an alternative approach to risk reduction in a portfolio based on a…
We apply numerical dynamic programming techniques to solve discrete-time multi-asset dynamic portfolio optimization problems with proportional transaction costs and shorting/borrowing constraints. Examples include problems with multiple…
This work proposes and studies the distributed resource allocation problem in asynchronous and stochastic settings. We consider a distributed system with multiple workers and a coordinating server with heterogeneous computation and…