In this paper, we study a stochastic optimal control for max-min utility admitting volatility ambiguity. By standard …

benchmark for all decreasing absolute risk-averse investors, using Quadratic Programming. The method is applied to standard data … the performance of Mean-Variance optimization by tens to hundreds of basis points per annum, for low to medium risk levels …. The improvements critically depend on imposing the complex condition of Decreasing Absolute Risk Aversion in addition to …

risk assessment, uncertainty-penalized optimization to counter estimation error and improve realized utility, and …Covariance appears throughout investment management, e.g., in risk reporting and control, portfolio construction, risk … parity, smart beta, algorithmic trading, and hedging. It is usually represented via multi-factor model. The form’s fewer …

This paper proposes an auxiliary particle filter algorithm for inference in regime switching stochastic volatility …

Purpose: We aim to generalize the continuous-time principal-agent problem to incorporate time-inconsistent utility … functions, such as those of mean-variance type, which are prevalent in risk management and finance. Design …