Copertina

S-shaped Utility Maximization with VaR Constraint and Partial Information

Fuente: arXiv

Salvato in:

Dettagli Bibliografici
Autori principali:	Zhu, Dongmei, Davey, Ashley, Zheng, Harry
Natura:	Preprint
Pubblicazione:	2025
Soggetti:	Mathematical Finance Optimization and Control 93E20, 93E11, 91G80, 90C46, 49M29
Accesso online:	Acceder al recurso
Tags:	Aggiungi Tag Nessun Tag, puoi essere il primo ad aggiungerne!!

Documenti analoghi

Deep Learning for Constrained Utility Maximisation
di: Davey, Ashley, et al.
Pubblicazione: (2020)

Equilibrium in Functional Stochastic Games with Mean-Field Interaction
di: Jaber, Eduardo Abi, et al.
Pubblicazione: (2023)

Partial Information in a Mean-Variance Portfolio Selection Game
di: Huang, Yu-Jui, et al.
Pubblicazione: (2023)

Unwinding Toxic Flow with Partial Information
di: Barzykin, Alexander, et al.
Pubblicazione: (2024)

Explicit Signal-Adaptive Sequential Optimal Execution Quotes
di: Yu, Fenghui
Pubblicazione: (2026)

Differential Beliefs in Financial Markets Under Information Constraints: A Modeling Perspective
di: Grigorian, Karen, et al.
Pubblicazione: (2025)

On stochastic control problems with higher-order moments
di: Wang, Yike, et al.
Pubblicazione: (2024)

Equilibrium strategies for stochastic control problems with higher-order moments and applications to portfolio selection
di: Wang, Yike, et al.
Pubblicazione: (2025)

Stochastic modeling of cyclic cancer treatments under common noise
di: Sonith, Jason
Pubblicazione: (2024)

Asset-liability management with Epstein-Zin utility under stochastic interest rate and unknown market price of risk
di: Kuissi-Kamdem, Wilfried
Pubblicazione: (2025)

Tractable bank capital structure: optimal control under Basel III constraints
di: Bayraktar, Erhan, et al.
Pubblicazione: (2026)

A continuous-time Kyle model with price-responsive traders
di: Noh, Eunjung
Pubblicazione: (2026)

Dynamic Programming Principle and Stabilization for Mean-Field Quantum Filtering Systems
di: Chalal, Sofiane, et al.
Pubblicazione: (2026)

Average Cost Optimality of Partially Observed MDPS: Contraction of Non-linear Filters, Optimal Solutions and Approximations
di: Demirci, Yunus Emre, et al.
Pubblicazione: (2023)

Policy Gradient for Continuous-Time Mean-Field Control
di: Bayraktar, Erhan, et al.
Pubblicazione: (2026)

Epstein-Zin Utility Maximization on a Random Horizon
di: Aurand, Joshua, et al.
Pubblicazione: (2019)

Convergence and turnpike properties of linear-quadratic mean field control problems with common noise
di: Bayraktar, Erhan, et al.
Pubblicazione: (2026)

Optimal Insurance to Maximize Exponential Utility when Premium is Computed by a Convex Functional
di: Cao, Jingyi, et al.
Pubblicazione: (2024)

Ergodicity and turnpike properties of linear-quadratic mean field control problems
di: Bayraktar, Erhan, et al.
Pubblicazione: (2025)

Estimation of VaR with jump process: application in corn and soybean markets
di: Lin, Minglian, et al.
Pubblicazione: (2023)

A model of strategic sustainable investment
di: De Angelis, Tiziano, et al.
Pubblicazione: (2024)

Reinforcement Learning for Dividend Optimization in Partially Observed Regime-Switching Diffusion Model
di: Gao, Zhongqin, et al.
Pubblicazione: (2026)

Multi-period Asset-liability Management with Reinforcement Learning in a Regime-Switching Market
di: Gao, Zhongqin, et al.
Pubblicazione: (2025)

Mean Field Equilibrium Asset Pricing Models With Exponential Utility
di: Sekine, Masashi
Pubblicazione: (2026)

Mean-Variance Stackelberg Games with Asymmetric Information
di: Huang, Yu-Jui, et al.
Pubblicazione: (2025)

Approximately optimal distributed controls for high-dimensional stochastic systems with pairwise interaction through controls
di: Devey, Elise
Pubblicazione: (2025)

The Price of Information
di: Jaimungal, Sebastian, et al.
Pubblicazione: (2024)

Forecasting and Manipulating the Forecasts of Others
di: Babichenko, Sam
Pubblicazione: (2026)

A Pontryagin Maximum Principle on the Belief Space for Continuous-Time Optimal Control with Discrete Observations
di: Bayer, Christian, et al.
Pubblicazione: (2025)

Mean field social optimization: feedback person-by-person optimality and the dynamic programming equation
di: Huang, Minyi, et al.
Pubblicazione: (2025)

Exploratory Randomization for Discrete-Time Linear Exponential Quadratic Gaussian (LEQG) Problem
di: Lleo, Sebastien, et al.
Pubblicazione: (2025)

A dynamic competitive equilibrium model of irreversible capacity investment with stochastic demand and heterogeneous producers
di: Kardaras, Constantinos, et al.
Pubblicazione: (2025)

Dynamic Weight Optimization for Double Linear Policy: A Stochastic Model Predictive Control Approach
di: Hong, Tan Chin, et al.
Pubblicazione: (2026)

Markov Decision Processes of the Third Kind: Learning Distributions by Policy Gradient Descent
di: Bäuerle, Nicole, et al.
Pubblicazione: (2026)

Exploratory Randomization for Discrete-Time Risk-Sensitive Benchmarked Investment Management with Reinforcement Learning
di: Lleo, Sebastien, et al.
Pubblicazione: (2026)

Reinforcement Learning for Speculative Trading under Exploratory Framework
di: Zhao, Yun, et al.
Pubblicazione: (2026)

From Semi-Infinite Constraints to Structured Robust Policies: Optimal Gain Selection for Financial Systems
di: Hsieh, Chung-Han
Pubblicazione: (2022)

Beyond Bellman: High-Order Generator Regression for Continuous-Time Policy Evaluation
di: Zheng, Yaowei, et al.
Pubblicazione: (2026)

Logarithmic regret in the ergodic Avellaneda-Stoikov market making model
di: Cao, Jialun, et al.
Pubblicazione: (2024)

Power Utility Maximization with Expert Opinions at Fixed Arrival Times in a Market with Hidden Gaussian Drift
di: Gabih, Abdelali, et al.
Pubblicazione: (2023)