Copertina

Singular Control in a Cash Management Model with Ambiguity

Fuente: arXiv

Salvato in:

Dettagli Bibliografici
Autori principali:	Archankul, Arnon, Ferrari, Giorgio, Hellmann, Tobias, Thijssen, Jacco J. J.
Natura:	Preprint
Pubblicazione:	2023
Soggetti:	Risk Management Optimization and Control Mathematical Finance
Accesso online:	Acceder al recurso
Tags:	Aggiungi Tag Nessun Tag, puoi essere il primo ad aggiungerne!!

Documenti analoghi

Singular Control in Inventory Management with Smooth Ambiguity
di: Archankul, Arnon, et al.
Pubblicazione: (2025)

Risk-Averse Markov Decision Processes through a Distributional Lens
di: Cheng, Ziteng, et al.
Pubblicazione: (2022)

Deep Learning the Efficient Frontier of Convex Vector Optimization Problems
di: Feinstein, Zachary, et al.
Pubblicazione: (2022)

Risk Measures for DC Pension Plan Decumulation
di: Forsyth, Peter A., et al.
Pubblicazione: (2025)

Robust Hedging of path-dependent options using a min-max algorithm
di: Banerjee, Purba, et al.
Pubblicazione: (2025)

Convolution Bounds on Quantile Aggregation
di: Blanchet, Jose, et al.
Pubblicazione: (2020)

Optimal Clearing Payments in a Financial Contagion Model
di: Calafiore, Giuseppe, et al.
Pubblicazione: (2021)

Multidimensional indefinite stochastic Riccati equations and zero-sum stochastic linear-quadratic differential games with non-Markovian regime switching
di: Zhang, Panpan, et al.
Pubblicazione: (2023)

LQG Risk-Sensitive Single-Agent and Major-Minor Mean-Field Game Systems: A Variational Framework
di: Liu, Hanchao, et al.
Pubblicazione: (2023)

Risk-Sensitive Mean Field Games with Common Noise: A Theoretical Study with Applications to Interbank Markets
di: Ren, Xin Yue, et al.
Pubblicazione: (2024)

Default Resilience and Worst-Case Effects in Financial Networks
di: Calafiore, Giuseppe, et al.
Pubblicazione: (2024)

Clearing Payments in Dynamic Financial Networks
di: Calafiore, Giuseppe C., et al.
Pubblicazione: (2022)

Joint Stochastic Optimal Control and Stopping in Aquaculture: Finite-Difference and PINN-Based Approaches
di: Kamm, Kevin
Pubblicazione: (2025)

On Unified Adaptive Black-Litterman Mean-Variance Portfolio Management
di: Li, Chi-Lin, et al.
Pubblicazione: (2023)

Cash-subadditive risk measures without quasi-convexity
di: Han, Xia, et al.
Pubblicazione: (2021)

Stationary Discounted and Ergodic Mean Field Games of Singular Control
di: Cao, Haoyang, et al.
Pubblicazione: (2021)

Estimation of Systemic Shortfall Risk Measure using Stochastic Algorithms
di: Kaakai, Sarah, et al.
Pubblicazione: (2022)

Optimal Cash Transfers and Microinsurance to Reduce Social Protection Costs
di: Azcue, Pablo, et al.
Pubblicazione: (2025)

Optimal Dividend, Reinsurance, and Capital Injection for Collaborating Business Lines under Model Uncertainty
di: Boonen, Tim J., et al.
Pubblicazione: (2026)

On the Impact of Feeding Cost Risk in Aquaculture Valuation and Decision Making
di: Ewald, Christian Oliver, et al.
Pubblicazione: (2023)

Budgeted Robust Intervention Design for Financial Networks with Common Asset Exposures
di: Calafiore, Giuseppe C.
Pubblicazione: (2026)

Robust Asset-Liability Management
di: de Vries, Tjeerd, et al.
Pubblicazione: (2023)

Optimal Dividend, Reinsurance and Capital Injection Strategies for Collaborating Business Lines: The Case of Excess-of-Loss Reinsurance
di: Boonen, Tim J., et al.
Pubblicazione: (2025)

Optimal Dividend, Reinsurance, and Capital Injection Strategies for an Insurer with Two Collaborating Business Lines
di: Boonen, Tim J., et al.
Pubblicazione: (2025)

If Not Now, Then When? Model Risk in the Optimal Exercise of American Options
di: Rigby, Luna, et al.
Pubblicazione: (2026)

A Comparative Study of Factor Models for Different Periods of the Electricity Spot Price Market
di: Laudagé, Christian, et al.
Pubblicazione: (2023)

Vault as a credit instrument
di: Zbandut, Anastasiia, et al.
Pubblicazione: (2026)

PELVE from a regulatory perspective
di: Laudagé, Christian, et al.
Pubblicazione: (2025)

Model-free Analysis of Dynamic Trading Strategies
di: Ananova, Anna, et al.
Pubblicazione: (2020)

Solving The Dynamic Volatility Fitting Problem: A Deep Reinforcement Learning Approach
di: Gnabeyeu, Emmanuel, et al.
Pubblicazione: (2024)

Efficient Wrong-Way Risk Modelling for Funding Valuation Adjustments
di: van der Zwaard, T., et al.
Pubblicazione: (2022)

DeFi Liquidation Risk Modeling Using Geometric Brownian Motion
di: Belenko, Timofei, et al.
Pubblicazione: (2025)

Utility Maximisation with Model-independent Constraints
di: Cox, Alexander M. G., et al.
Pubblicazione: (2025)

Monotonic mean-deviation risk measures
di: Han, Xia, et al.
Pubblicazione: (2023)

Price-mediated contagion with endogenous market liquidity
di: Cao, Zhiyu, et al.
Pubblicazione: (2023)

A stochastic SIR model for cyber contagion: application to granular growth of firms and to insurance portfolio
di: Hillairet, Caroline, et al.
Pubblicazione: (2026)

When risk defies order: On the limits of fractional stochastic dominance
di: Laudagé, Christian, et al.
Pubblicazione: (2025)

De Finetti's problem with fixed transaction costs and regime switching
di: Wang, Wenyuan, et al.
Pubblicazione: (2025)

The role of debt valuation factors in systemic risk assessment
di: Fortuna, Kamil, et al.
Pubblicazione: (2024)

Dynamic Clearing and Contagion in Financial Networks
di: Banerjee, Tathagata, et al.
Pubblicazione: (2018)