Related papers: Nonconcave Portfolio Choice under Smooth Ambiguity
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In an arbitrage-free simple market, we demonstrate that for a class of state-dependent exponential utilities, there exists a unique prediction of the random risk aversion that ensures the consistency of optimal strategies across any time…
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Learning to make decisions from observed data in dynamic environments remains a problem of fundamental importance in a number of fields, from artificial intelligence and robotics, to medicine and finance. This paper concerns the problem of…
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We consider a non-convex constrained Lagrangian formulation of a fundamental bi-criteria optimization problem for variable selection in statistical learning; the two criteria are a smooth (possibly) nonconvex loss function, measuring the…
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The first moment and second central moments of the portfolio return, a.k.a. mean and variance, have been widely employed to assess the expected profit and risk of the portfolio. Investors pursue higher mean and lower variance when designing…
Distributionally robust control is a well-studied framework for optimal decision making under uncertainty, with the objective of minimizing an expected cost function over control actions, assuming the most adverse probability distribution…
The goal of this paper is to specify dynamic term structure models with discrete tenor structure for credit portfolios in a top-down setting driven by time-inhomogeneous L\'evy processes. We provide a new framework, conditions for absence…
Flexible sparsity regularization means stably approximating sparse solutions of operator equations by using coefficient-dependent penalizations. We propose and analyse a general nonconvex approach in this respect, from both theoretical and…
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