相关论文: Competition in Fund Management and Forward Relativ…
Inventory-policy comparisons are often difficult to interpret because performance depends on the evaluation contract as much as on the policy itself. Differences in topology, demand regime, information access, feasibility constraints,…
We investigate the portfolio selection problem for an agent with rank-dependent utility in an incomplete financial market. For a constant-coefficient market and CRRA utilities, we characterize the deterministic strict equilibrium…
Improvements in return forecast accuracy do not always lead to proportional improvements in portfolio decision quality, especially under realistic trading frictions and constraints. This paper adopts the Smart Predict--then--Optimize (SPO)…
We discuss a class of risk-sensitive portfolio optimization problems. We consider the portfolio optimization model investigated by Nagai in 2003. The model by its nature can include fixed income securities as well in the portfolio. Under…
Price-based revenue management is an important problem in operations management with many practical applications. The problem considers a retailer who sells a product (or multiple products) over $T$ consecutive time periods and is subject…
This paper introduces a novel agent-based approach for enhancing existing portfolio strategies using Proximal Policy Optimization (PPO). Rather than focusing solely on traditional portfolio construction, our approach aims to improve an…
With the emergence of precision medicine, estimating optimal individualized decision rules (IDRs) has attracted tremendous attention in many scientific areas. Most existing literature has focused on finding optimal IDRs that can maximize…
In stochastic finance, one traditionally considers the return as a competitive measure of an asset, {\it i.e.}, the profit generated by that asset after some fixed time span $\Delta t$, say one week or one year. This measures how well (or…
We consider the forward investment problem in market models where the stock prices are continuous semimartingales adapted to a Brownian filtration. We construct a broad class of forward performance processes with initial conditions of power…
We address a portfolio selection problem that combines active (outperformance) and passive (tracking) objectives using techniques from convex analysis. We assume a general semimartingale market model where the assets' growth rate processes…
Diffusion models have achieved remarkable success in sequential decision-making by leveraging the highly expressive model capabilities in policy learning. A central problem for learning diffusion policies is to align the policy output with…
The problem of portfolio optimization when stochastic factors drive returns and volatilities has been studied in previous works by the authors. In particular, they proposed asymptotic approximations for value functions and optimal…
Optimal investment strategies of an individual worker during the accumulation phase in the defined contribution pension scheme have been well studied in the literature. Most of them adopted the classical backward model and approach, but any…
We study Proportional Response Dynamics (PRD) in linear Fisher markets where participants act asynchronously. We model this scenario as a sequential process in which in every step, an adversary selects a subset of the players that will…
We construct Nash equilibria in feedback form for a class of two-person stochastic games of singular control with absorption, arising from a stylized model for corporate finance. More precisely, the paper focusses on a strategic dynamic…
We consider a class of optimal portfolio choice problems in continuous time where the agent's transactions create both transient cross-impact driven by a matrix-valued Volterra propagator, as well as temporary price impact. We formulate…
In an infinitely repeated general-sum pricing game, independent reinforcement learners may exhibit collusive behavior without any communication, raising concerns about algorithmic collusion. To better understand the learning dynamics, we…
This paper studies real-time bidding mechanisms for economic dispatch and frequency regulation in electrical power networks. We consider a market administered by an independent system operator (ISO) where a group of strategic generators…
We consider the process of bidding by electricity suppliers in a day-ahead market context where each supplier bids a linear non-decreasing function of her generating capacity with the goal of maximizing her individual profit given other…
The proliferation of the Internet has led to the emergence of online advertising, driven by the mechanics of online auctions. In these repeated auctions, software agents participate on behalf of aggregated advertisers to optimize for their…