Showing 1 - 10 of 20,537
We combine a dynamic programming approach (stochastic optimal control) with a multi-stage stochastic programming approach (MSP) in order to solve various problems in personal finance and pensions. Stochastic optimal control produces an optimal policy that is easy to understand and implement....
Persistent link: https://www.econbiz.de/10013033671
We develop and implement methods for determining whether relaxing sparsity constraints on portfolios improves the investment opportunity set for risk-averse investors. We formulate a new estimation procedure for sparse second-order stochastic spanning based on a greedy algorithm and Linear...
Persistent link: https://www.econbiz.de/10015194210
by actions of the investor. Using the classical filtering theory, we reduce this problem with partial information to one … with full information and solve it for logarithmic and power utility functions. In particular, we apply control theory for …
Persistent link: https://www.econbiz.de/10012901723
Many optimization problems that arise in practice can be reduced to the problem of computing the projection of a given vector in a Euclidean space onto the simplicial cone generated by a set of linearly independent vectors. For example, the well-known problem in finance of determining the...
Persistent link: https://www.econbiz.de/10012967192
We study the problem of active portfolio management where an investor aims to outperform a benchmark strategy's risk profile while not deviating too far from it. Specifically, an investor considers alternative strategies whose terminal wealth lie within a Wasserstein ball surrounding a...
Persistent link: https://www.econbiz.de/10013247967
utilize conic duality theory to reformulate the distributionally robust worst-case expectation constraint. Second, we devise a …
Persistent link: https://www.econbiz.de/10012840975
This paper analyzes competition between mutual funds in a multiple funds version of the model of Hugonnier and Kaniel. We characterize the set of equilibria for this delegated portfolio management game and show that there exists a unique Pareto optimal equilibrium. The main result of this paper...
Persistent link: https://www.econbiz.de/10003962143
This paper proposes an auxiliary particle filter algorithm for inference in regime switching stochastic volatility …
Persistent link: https://www.econbiz.de/10014164616
Modern Algorithmic Trading ("Algo") allows institutional investors and traders to liquidate or establish big security positions in a fully automated or low-touch manner. Most existing academic or industrial Algos focus on how to "slice" a big parent order into smaller child orders over a given...
Persistent link: https://www.econbiz.de/10012837206
Binary random variables often refer to such as customers that are present or not, roads that are open or not, machines that are operable or not. At the same time, stochastic programs often apply to situations where penalties are accumulated when demand is not met, travel times are too long, or...
Persistent link: https://www.econbiz.de/10012944606