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Author : Daniel Bartl
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (116 download)
Download or read book Robust Techniques for Utility Maximization and Related Problems written by Daniel Bartl and published by . This book was released on 2019 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Andreas Hamel
Publisher :
ISBN 13 :
Total Pages : 9 pages
Book Rating : 4.:/5 (13 download)
Download or read book Robust No Arbitrage and the Solvability of Vector-Valued Utility Maximization Problems written by Andreas Hamel and published by . This book was released on 2019 with total page 9 pages. Available in PDF, EPUB and Kindle. Book excerpt: A market model with d assets in discrete time is considered where trades are subject to proportional transaction costs given via bid-ask spreads, while the existence of a numeraire is not assumed. It is shown that robust no arbitrage holds if, and only if, there exists a Pareto solution for some vector-valued utility maximization problem with component-wise utility functions. Moreover, it is demonstrated that a consistent price process can be constructed from the Pareto maximizer.
Author : Ivan Guo
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Robust Utility Maximization Under Model Uncertainty Via a Penalization Approach written by Ivan Guo and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper addresses the problem of utility maximization under uncertain parameters. In contrast with the classical approach, where the parameters of the model evolve freely within a given range, we constrain them via a penalty function. We show that this robust optimization process can be interpreted as a two-player zero-sum stochastic differential game. We prove that the value function satisfies the Dynamic Programming Principle and that it is the unique viscosity solution of an associated Hamilton-Jacobi-Bellman-Isaacs equation. We test this robust algorithm on real market data. The results show that robust portfolios generally have higher expected utilities and are more stable under strong market downturns. To solve for the value function, we derive an analytical solution in the logarithmic utility case and obtain accurate numerical approximations in the general case by three methods: finite difference method, Monte Carlo simulation, and Generative Adversarial Networks.
Download or read book Robust Utility Maximization in a Stochastic Factor Model written by and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We give an explicit PDE characterization for the solution of a robust utility maximization problem in an incomplete market model, whose volatility, interest rate process, and long-term trend are driven by an external stochastic factor process. The robust utility functional is defined in terms of a HARA utility function with negative risk aversion and a dynamically consistent coherent risk measure, which allows for model uncertainty in the distributions of both the asset price dynamics and the factor process. Our method combines two recent advances in the theory of optimal investments: the general duality theory for robust utility maximization and the stochastic control approach to the dual problem of determining optimal martingale measures. -- optimal investment ; model uncertainty ; incomplete markets ; stochastic volatility ; coherent risk measures ; optimal control ; convex duality
Author : David Criens
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (14 download)
Download or read book Robust Utility Maximization with Nonlinear Continuous Semimartingales written by David Criens and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: In this paper we study a robust utility maximization problem in continuous time under model uncertainty. The model uncertainty is governed by a continuous semimartingale with uncertain local characteristics. Here, the differential characteristics are prescribed by a set-valued function that depends on time and path. We show that the robust utility maximization problem is in duality with a conjugate problem, and we study the existence of optimal portfolios for logarithmic, exponential and power utilities
Author : Matthias Müller
Publisher :
ISBN 13 :
Total Pages : 149 pages
Book Rating : 4.:/5 (181 download)
Download or read book Market Completion and Robust Utility Maximization written by Matthias Müller and published by . This book was released on 2005 with total page 149 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Anne Gundel
Publisher :
ISBN 13 :
Total Pages : 134 pages
Book Rating : 4.:/5 (18 download)
Download or read book Robust Utility Maximization, F-projections, and Risk Constraints written by Anne Gundel and published by . This book was released on 2006 with total page 134 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Alain Bensoussan
Publisher : Elsevier
ISBN 13 : 0080931006
Total Pages : 743 pages
Book Rating : 4.0/5 (89 download)
Download or read book Mathematical Modelling and Numerical Methods in Finance written by Alain Bensoussan and published by Elsevier. This book was released on 2009-06-16 with total page 743 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mathematical finance is a prolific scientific domain in which there exists a particular characteristic of developing both advanced theories and practical techniques simultaneously. Mathematical Modelling and Numerical Methods in Finance addresses the three most important aspects in the field: mathematical models, computational methods, and applications, and provides a solid overview of major new ideas and results in the three domains. Coverage of all aspects of quantitative finance including models, computational methods and applications Provides an overview of new ideas and results Contributors are leaders of the field
Author : Daniel Hernández-Hernández
Publisher :
ISBN 13 :
Total Pages : 22 pages
Book Rating : 4.:/5 (17 download)
Download or read book ˜Aœ Control Approach to Robust Utility Maximization with Logarithmic Utility and Time-consistent Penalties written by Daniel Hernández-Hernández and published by . This book was released on 2006 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Saeedeh Parsaeefard
Publisher : Springer
ISBN 13 : 3319503898
Total Pages : 255 pages
Book Rating : 4.3/5 (195 download)
Download or read book Robust Resource Allocation in Future Wireless Networks written by Saeedeh Parsaeefard and published by Springer. This book was released on 2017-03-06 with total page 255 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents state-of-the-art research on robust resource allocation in current and future wireless networks. The authors describe the nominal resource allocation problems in wireless networks and explain why introducing robustness in such networks is desirable. Then, depending on the objectives of the problem, namely maximizing the social utility or the per-user utility, cooperative or competitive approaches are explained and their corresponding robust problems are considered in detail. For each approach, the costs and benefits of robust schemes are discussed and the algorithms for reducing their costs and improving their benefits are presented. Considering the fact that such problems are inherently non-convex and intractable, a taxonomy of different relaxation techniques is presented, and applications of such techniques are shown via several examples throughout the book. Finally, the authors argue that resource allocation continues to be an important issue in future wireless networks, and propose specific problems for future research.
Author : Craig Friedman
Publisher : CRC Press
ISBN 13 : 1000738140
Total Pages : 333 pages
Book Rating : 4.0/5 (7 download)
Download or read book Utility-Based Learning from Data written by Craig Friedman and published by CRC Press. This book was released on 2016-04-19 with total page 333 pages. Available in PDF, EPUB and Kindle. Book excerpt: Utility-Based Learning from Data provides a pedagogical, self-contained discussion of probability estimation methods via a coherent approach from the viewpoint of a decision maker who acts in an uncertain environment. This approach is motivated by the idea that probabilistic models are usually not learned for their own sake; rather, they are used t
Author : Kenneth Train
Publisher : Cambridge University Press
ISBN 13 : 0521766559
Total Pages : 399 pages
Book Rating : 4.5/5 (217 download)
Download or read book Discrete Choice Methods with Simulation written by Kenneth Train and published by Cambridge University Press. This book was released on 2009-07-06 with total page 399 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book describes the new generation of discrete choice methods, focusing on the many advances that are made possible by simulation. Researchers use these statistical methods to examine the choices that consumers, households, firms, and other agents make. Each of the major models is covered: logit, generalized extreme value, or GEV (including nested and cross-nested logits), probit, and mixed logit, plus a variety of specifications that build on these basics. Simulation-assisted estimation procedures are investigated and compared, including maximum stimulated likelihood, method of simulated moments, and method of simulated scores. Procedures for drawing from densities are described, including variance reduction techniques such as anithetics and Halton draws. Recent advances in Bayesian procedures are explored, including the use of the Metropolis-Hastings algorithm and its variant Gibbs sampling. The second edition adds chapters on endogeneity and expectation-maximization (EM) algorithms. No other book incorporates all these fields, which have arisen in the past 25 years. The procedures are applicable in many fields, including energy, transportation, environmental studies, health, labor, and marketing.
Author : Craig A. Friedman
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Learning Probabilistic Models written by Craig A. Friedman and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We consider the problem of learning a probabilistic model from the viewpoint of an expected utility maximizing decision maker/investor who would use the model to make decisions (bets), which result in well defined payoffs. In our new approach, we seek good out-of-sample model performance by considering a one-parameter family of Pareto optimal models, which we define in terms of consistency with the training data and consistency with a prior (benchmark) model. We measure the former by means of the large-sample distribution of a vector of sample-averaged features, and the latter by means of a generalized relative entropy. We express each Pareto optimal model as the solution of a strictly convex optimization problem and its strictly concave (and tractable) dual. Each dual problem is a regularized maximization of expected utility over a well-defined family of functions. Each Pareto optimal model is robust: maximizing worst-case outperformance relative to the benchmark model. Finally, we select the Pareto optimal model with maximum (out-of-sample) expected utility. We show that our method reduces to the minimum relative entropy method if and only if the utility function is a member of a three-parameter logarithmic family.
Author : Makiko Nisio
Publisher : Springer
ISBN 13 : 4431551239
Total Pages : 263 pages
Book Rating : 4.4/5 (315 download)
Download or read book Stochastic Control Theory written by Makiko Nisio and published by Springer. This book was released on 2014-11-27 with total page 263 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers a systematic introduction to the optimal stochastic control theory via the dynamic programming principle, which is a powerful tool to analyze control problems. First we consider completely observable control problems with finite horizons. Using a time discretization we construct a nonlinear semigroup related to the dynamic programming principle (DPP), whose generator provides the Hamilton–Jacobi–Bellman (HJB) equation, and we characterize the value function via the nonlinear semigroup, besides the viscosity solution theory. When we control not only the dynamics of a system but also the terminal time of its evolution, control-stopping problems arise. This problem is treated in the same frameworks, via the nonlinear semigroup. Its results are applicable to the American option price problem. Zero-sum two-player time-homogeneous stochastic differential games and viscosity solutions of the Isaacs equations arising from such games are studied via a nonlinear semigroup related to DPP (the min-max principle, to be precise). Using semi-discretization arguments, we construct the nonlinear semigroups whose generators provide lower and upper Isaacs equations. Concerning partially observable control problems, we refer to stochastic parabolic equations driven by colored Wiener noises, in particular, the Zakai equation. The existence and uniqueness of solutions and regularities as well as Itô's formula are stated. A control problem for the Zakai equations has a nonlinear semigroup whose generator provides the HJB equation on a Banach space. The value function turns out to be a unique viscosity solution for the HJB equation under mild conditions. This edition provides a more generalized treatment of the topic than does the earlier book Lectures on Stochastic Control Theory (ISI Lecture Notes 9), where time-homogeneous cases are dealt with. Here, for finite time-horizon control problems, DPP was formulated as a one-parameter nonlinear semigroup, whose generator provides the HJB equation, by using a time-discretization method. The semigroup corresponds to the value function and is characterized as the envelope of Markovian transition semigroups of responses for constant control processes. Besides finite time-horizon controls, the book discusses control-stopping problems in the same frameworks.
Author : Alexey Piunovskiy
Publisher : Springer Nature
ISBN 13 : 3030769283
Total Pages : 356 pages
Book Rating : 4.0/5 (37 download)
Download or read book Modern Trends in Controlled Stochastic Processes: written by Alexey Piunovskiy and published by Springer Nature. This book was released on 2021-06-04 with total page 356 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents state-of-the-art solution methods and applications of stochastic optimal control. It is a collection of extended papers discussed at the traditional Liverpool workshop on controlled stochastic processes with participants from both the east and the west. New problems are formulated, and progresses of ongoing research are reported. Topics covered in this book include theoretical results and numerical methods for Markov and semi-Markov decision processes, optimal stopping of Markov processes, stochastic games, problems with partial information, optimal filtering, robust control, Q-learning, and self-organizing algorithms. Real-life case studies and applications, e.g., queueing systems, forest management, control of water resources, marketing science, and healthcare, are presented. Scientific researchers and postgraduate students interested in stochastic optimal control,- as well as practitioners will find this book appealing and a valuable reference.
Author : Lars Peter Hansen
Publisher : Princeton University Press
ISBN 13 : 0691170975
Total Pages : 453 pages
Book Rating : 4.6/5 (911 download)
Download or read book Robustness written by Lars Peter Hansen and published by Princeton University Press. This book was released on 2016-06-28 with total page 453 pages. Available in PDF, EPUB and Kindle. Book excerpt: The standard theory of decision making under uncertainty advises the decision maker to form a statistical model linking outcomes to decisions and then to choose the optimal distribution of outcomes. This assumes that the decision maker trusts the model completely. But what should a decision maker do if the model cannot be trusted? Lars Hansen and Thomas Sargent, two leading macroeconomists, push the field forward as they set about answering this question. They adapt robust control techniques and apply them to economics. By using this theory to let decision makers acknowledge misspecification in economic modeling, the authors develop applications to a variety of problems in dynamic macroeconomics. Technical, rigorous, and self-contained, this book will be useful for macroeconomists who seek to improve the robustness of decision-making processes.
Author : Xi Zhang
Publisher : Springer
ISBN 13 : 3642292224
Total Pages : 650 pages
Book Rating : 4.6/5 (422 download)
Download or read book Quality, Reliability, Security and Robustness in Heterogeneous Networks written by Xi Zhang and published by Springer. This book was released on 2012-04-23 with total page 650 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes the thoroughly refereed post-conference proceedings of the 7th International Conference on Heterogeneous Networking for Quality, Reliability, Security and Robustness, QShine 2010. The 37 revised full papers presented along with 7 papers from the allocated Dedicated Short Range Communications Workshop, DSRC 2010, were carefully selected from numerous submissions. Conference papers are organized into 9 technical sessions, covering the topics of cognitive radio networks, security, resource allocation, wireless protocols and algorithms, advanced networking systems, sensor networks, scheduling and optimization, routing protocols, multimedia and stream processing. Workshop papers are organized into two sessions: DSRC networks and DSRC security.
