Related papers: Equilibrium Strategies for Singular Dividend Contr…
We consider the optimal dividend problem for the insurance risk process in a general Levy process setting. The objective is to find a strategy which maximizes the expected total discounted dividends until the time of ruin. We give…
In this paper, we attempt to introduce the Bellman principle for a discrete time multi-period mean-variance model. Based on this new take on the Bellman principle, we obtain a dynamic time-consistent optimal strategy and related efficient…
This paper addresses objectives tailored to the risk-averse optimization of accumulated rewards in Markov decision processes (MDPs). The studied objectives require maximizing the expected value of the accumulated rewards minus a penalty…
We investigate the portfolio execution problem under a framework in which volatility and liquidity are both uncertain. In our model, we assume that a multidimensional Markovian stochastic factor drives both of them. Moreover, we model…
In this paper, we consider the optimal dividend problem of the renewal risk model with phase-type distributed interclaim times and exponentially distributed claim sizes. Assume that the phases of the interclaim times can be observed. We…
In this paper, optimal control problems governed by diffusion equations with Dirichlet and Neumann boundary conditions are investigated in the framework of the gradient discretisation method. Gradient schemes are defined for the optimality…
In this paper, we investigate the Merton portfolio management problem in the context of non-exponential discounting. This gives rise to time-inconsistency of the decision-maker. If the decision-maker at time t=0 can commit his/her…
We consider a mean-field control problem in which admissible controls are required to be adapted to the common noise filtration. The main objective is to show how the mean-field control problem can be approximates by time consistent…
In this paper we show existence and uniqueness of a solution for a system of m variational partial differential inequalities with inter-connected obstacles. This system is the deterministic version of the Verification Theorem of the…
We study an optimal control problem on infinite time horizon with semimartingale strategies, random coefficients and regime switching. The value function and the optimal strategy can be characterized in terms of three systems of backward…
We consider a financial intermediary managing assets and liabilities exposed to several risk sources and seeking an optimal portfolio strategy to minimise the initial capital invested and the total risk associated with investment losses and…
This paper studies a variation of the continuous-time mean-variance portfolio selection where a tracking-error penalization is added to the mean-variance criterion. The tracking error term penalizes the distance between the allocation…
We employ model predictive control for a multi-period portfolio optimization problem. In addition to the mean-variance objective, we construct a portfolio whose allocation is given by model predictive control with a risk-parity objective,…
We consider a two-sided singular stochastic control problem with a risk-sensitive ergodic criterion. In particular, we consider a stochastic system whose uncontrolled dynamics are modelled by a linear diffusion. The control that can be…
Robust estimation for modern portfolio selection on a large set of assets becomes more important due to large deviation of empirical inference on big data. We propose a distributionally robust methodology for high-dimensional mean-variance…
We consider an optimal control problem of a property insurance company with proportional reinsurance strategy. The insurance business brings in catastrophe risk, such as earthquake and flood. The catastrophe risk could be partly reduced by…
In this paper, we consider the optimal dividends problem for a company whose cash reserves follow a general Levy process with certain positive jumps and arbitrary negative jumps. The objective is to find a policy which maximizes the…
We establish a variety of results extending the well-known Pontryagin maximum principle of optimal control to discrete-time optimal control problems posed on smooth manifolds. These results are organized around a new theorem on critical and…
This paper studies the time-inconsistent MV optimal stopping problem via a game-theoretic approach to find equilibrium strategies. To overcome the mathematical intractability of direct equilibrium analysis, we propose a vanishing…
We develop a efficient, easy-to-implement, and strictly monotone numerical integration method for Mean-Variance (MV) portfolio optimization in realistic contexts, which involve jump-diffusion dynamics of the underlying controlled processes,…