相关论文: Utility Maximization with a Stochastic Clock and a…
In this paper we investigate a utility maximization problem with drift uncertainty in a multivariate continuous-time Black-Scholes type financial market which may be incomplete. We impose a constraint on the admissible strategies that…
Utility-Based Shortfall Risk (UBSR) is a risk metric that is increasingly popular in financial applications, owing to certain desirable properties that it enjoys. We consider the problem of estimating UBSR in a recursive setting, where…
This paper presents two stochastic model predictive control methods for linear time-invariant systems subject to unbounded additive uncertainties. The new methods are developed by formulating the chance constraints into deterministic form,…
Exact free energy minimization is a convex optimization problem that is usually approximated with stochastic sampling methods. Deterministic approximations have been less successful because many desirable properties have been difficult to…
In a market with stochastic investment opportunities, we study an optimal consumption investment problem for an agent with recursive utility of Epstein-Zin type. Focusing on the empirically relevant specification where both risk aversion…
This paper studies an open question in the warehouse problem where a merchant trading a commodity tries to find an optimal inventory-trading policy to decide on purchase and sale quantities during a fixed time horizon in order to maximize…
An optimal control problem with a time-parameter is considered. The functional to be optimized includes the maximum over time-horizon reached by a function of the state variable, and so an $L^\infty$-term. In addition to the classical…
We consider a general class of dynamic resource allocation problems within a stochastic optimal control framework. This class of problems arises in a wide variety of applications, each of which intrinsically involves resources of different…
We study the dual formulation of the utility maximization problem in incomplete markets when the utility function is finitely valued on the whole real line. We extend the existing results in this literature in two directions. First, we…
This paper presents a method to approximately solve stochastic optimal control problems in which the cost function and the system dynamics are polynomial. For stochastic systems with polynomial dynamics, the moments of the state can be…
We investigate an expected utility maximization problem under model uncertainty in a one-period financial market. We capture model uncertainty by replacing the baseline model $\mathbb{P}$ with an adverse choice from a Wasserstein ball of…
Optimization under uncertainty deals with the problem of optimizing stochastic cost functions given some partial information on their inputs. These problems are extremely difficult to solve and yet pervade all areas of technological and…
In this paper we find tight sufficient conditions for the continuity of the value of the utility maximization problem from terminal wealth with respect to the convergence in distribution of the underlying processes. We also establish a weak…
We consider optimal consumption and portfolio choice in the presence of Knightian uncertainty in continuous-time. We embed the problem into the new framework of stochastic calculus for such settings, dealing in particular with the issue of…
In this paper, we consider a class of continuous-time, continuous-space stochastic optimal control problems. Building upon recent advances in Markov chain approximation methods and sampling-based algorithms for deterministic path planning,…
This paper studies a type of periodic utility maximization problems for portfolio management in incomplete stochastic factor models with convex trading constraints. The portfolio performance is periodically evaluated on the relative ratio…
In this paper we study a utility maximization problem with random horizon and reduce it to the analysis of a specific BSDE, which we call BSDE with singular coefficients, when the support of the default time is assumed to be bounded. We…
This paper presents a stochastic model predictive control approach for nonlinear systems subject to time-invariant probabilistic uncertainties in model parameters and initial conditions. The stochastic optimal control problem entails a cost…
The stochastic knapsack problem is the stochastic variant of the classical knapsack problem in which the algorithm designer is given a a knapsack with a given capacity and a collection of items where each item is associated with a profit…
This article studies the problem of utility maximization in an incomplete market under a class of nonlinear expectations and general constraints on trading strategies. Using a $g$-martingale method, we provide an explicit solution to our…