Copertina

Intertemporal Hedging Demand under Epstein-Zin Preferences in a Multi-Asset Long-Run Risk Model: Evidence from Projected Pontryagin-Guided Deep Policy Optimization

Fuente: arXiv

Salvato in:

Dettagli Bibliografici
Autore principale:	Cho, Wonchan
Natura:	Preprint
Pubblicazione:	2025
Soggetti:	Systems and Control Optimization and Control
Accesso online:	Acceder al recurso
Tags:	Aggiungi Tag Nessun Tag, puoi essere il primo ad aggiungerne!!

Documenti analoghi

Robust Optimal Reinsurance, Investment,and Surplus Allocation for Epstein-Zin Preferences
di: Guo, Junyi, et al.
Pubblicazione: (2026)

Framework for Modeling and Optimization of On-Orbit Servicing Operations under Demand Uncertainties
di: Jonchay, Tristan Sarton du, et al.
Pubblicazione: (2021)

Robust Continuous-Time Generation Scheduling under Power Demand Uncertainty: An Affine Decision Rule Approach
di: Cho, Youngchae, et al.
Pubblicazione: (2025)

Ergodic-Risk Constrained Policy Optimization: The Linear Quadratic Case
di: Talebi, Shahriar, et al.
Pubblicazione: (2025)

Optimal Comfortable Consumption under Epstein-Zin utility
di: Tian, Dejian, et al.
Pubblicazione: (2025)

Policy Optimization with Differentiable MPC: Convergence Analysis under Uncertainty
di: Zuliani, Riccardo, et al.
Pubblicazione: (2026)

Pontryagin-Guided Policy Optimization for Merton's Portfolio Problem
di: Huh, Jeonggyu, et al.
Pubblicazione: (2024)

Multiparametric continuous-time optimal control via Pontryagin's Maximum Principle: explicit solutions and comparisons with discrete-time formulations
di: Lamakani, Lida, et al.
Pubblicazione: (2026)

Stochastic dynamic programming under recursive Epstein-Zin preferences
di: Jaśkiewicz, Anna, et al.
Pubblicazione: (2024)

Optimal Operation of Renewable Energy Communities under Demand Response Programs
di: Bianchini, Gianni, et al.
Pubblicazione: (2025)

Rough Stochastic Pontryagin Maximum Principle and an Indirect Shooting Method
di: Lew, Thomas
Pubblicazione: (2025)

Watts vs. Bytes: Turning Data Centers into Grid Assets via Storage Compute Co-Optimization
di: Liu, Shaohui, et al.
Pubblicazione: (2026)

Equity-aware Design and Timing of Fare-free Transit Zoning under Demand Uncertainty
di: Guo, Qianwen, et al.
Pubblicazione: (2025)

Policy Optimization for Unknown Systems using Differentiable Model Predictive Control
di: Zuliani, Riccardo, et al.
Pubblicazione: (2025)

A Sensor-Driven Optimization Framework for Asset Management in Energy Systems: Implications for Full and Partial Digital Transformation in Hydro Fleets
di: Fallahi, Farnaz, et al.
Pubblicazione: (2025)

Ride-pooling Electric Autonomous Mobility-on-Demand: Joint Optimization of Operations and Fleet and Infrastructure Design
di: Paparella, Fabio, et al.
Pubblicazione: (2024)

Koopman Representations for Non-Vanishing Time Intervals: An Optimization Approach and Sampling Effects
di: Cho, Younghwan, et al.
Pubblicazione: (2026)

Flexibility Characterization of Sustainable Power Systems in Demand Space: A Data-Driven Inverse Optimization Approach
di: Awadalla, Mohamed, et al.
Pubblicazione: (2022)

Continuous-Time Zeroth-Order Dynamics with Projection Maps: Model-Free Feedback Optimization with Safety Guarantees
di: Chen, Xin, et al.
Pubblicazione: (2023)

Performance guaranteed MPC Policy Approximation via Cost Guided Learning
di: Zhou, Chenchen, et al.
Pubblicazione: (2026)

Projection-based Prediction-Correction Method for Distributed Consensus Optimization
di: Long, Han
Pubblicazione: (2023)

Ergodic-risk Criterion for Stochastically Stabilizing Policy Optimization
di: Talebi, Shahriar, et al.
Pubblicazione: (2024)

Robust dividend policy: Equivalence of Epstein-Zin and Maenhout preferences
di: Chen, Kexin, et al.
Pubblicazione: (2024)

Distributionally Robust Stochastic MPC under Disturbance-Affine Feedback Policies
di: Chen, Xu, et al.
Pubblicazione: (2026)

Data-Enabled Policy Optimization for Direct Adaptive Learning of the LQR
di: Zhao, Feiran, et al.
Pubblicazione: (2024)

Policy Optimization in Robust Control: Weak Convexity and Subgradient Methods
di: Watanabe, Yuto, et al.
Pubblicazione: (2025)

Linear Convergence of Data-Enabled Policy Optimization for Linear Quadratic Tracking
di: Kang, Shubo, et al.
Pubblicazione: (2024)

Direct Data-Driven Linear Quadratic Tracking via Policy Optimization
di: Kang, Shubo, et al.
Pubblicazione: (2026)

On the (almost) Global Exponential Convergence of the Overparameterized Policy Optimization for the LQR Problem
di: Wafi, Moh Kamalul, et al.
Pubblicazione: (2025)

Risk-Aware Fixed-Time Stabilization of Stochastic Systems under Measurement Uncertainty
di: Black, Mitchell, et al.
Pubblicazione: (2024)

Robust Capacity Expansion under Wildfire Ignition Risk and High Renewable Penetration
di: Tapia, Tomás, et al.
Pubblicazione: (2026)

Hierarchical Deep Reinforcement Learning Framework for Multi-Year Asset Management Under Budget Constraints
di: Fard, Amir, et al.
Pubblicazione: (2025)

Water Demand Maximization: Quick Recovery of Nonlinear Physics Solutions
di: Hari, Sai Krishna Kanth, et al.
Pubblicazione: (2026)

A Stackelberg Game of Demand Response from the Aggregator's Perspective
di: Khe, Seangleng, et al.
Pubblicazione: (2025)

Unsafe Probabilities and Risk Contours for Stochastic Processes using Convex Optimization
di: Miller, Jared, et al.
Pubblicazione: (2024)

The Price of Simplicity: Analyzing Decoupled Policies for Multi-Location Inventory Control
di: John, Yohan, et al.
Pubblicazione: (2025)

Output-feedback Synthesis Orbit Geometry: Quotient Manifolds and LQG Direct Policy Optimization
di: Kraisler, Spencer, et al.
Pubblicazione: (2024)

Hybrid Energy-Aware Reward Shaping: A Unified Lightweight Physics-Guided Methodology for Policy Optimization
di: Liao, Qijun, et al.
Pubblicazione: (2026)

Online Energy Storage Arbitrage under Imperfect Predictions: A Conformal Risk-Aware Approach
di: Wu, Yiqian, et al.
Pubblicazione: (2025)

Stochastic Differential Dynamic Programming for Trajectory Optimization under Partial Observability
di: Fujiwara, Masahiro, et al.
Pubblicazione: (2026)