Optimal Control of Conditional Value-at-Risk in Continuous Time
From MaRDI portal
Publication:5347544
DOI10.1137/16M1058492zbMath1366.49031arXiv1512.05015MaRDI QIDQ5347544
Insoon Yang, Christopher W. Miller
Publication date: 24 May 2017
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1512.05015
dynamic programmingstochastic optimal controlHamilton-Jacobi-Bellman equationstime inconsistencyviscosity solutionsrisk measuresconditional value-at-risk
Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
Related Items
Optimality conditions in variational form for non-linear constrained stochastic control problems, Stochastic Control of Optimized Certainty Equivalents, On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration, Zero-sum stochastic games with the average-value-at-risk criterion, Continuous-time portfolio optimization for absolute return funds, Multiperiod Mean Conditional Value at Risk Asset Allocation: Is It Advantageous to Be Time Consistent?, The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors, A stochastic primal-dual method for optimization with conditional value at risk constraints, Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts, Risk-theoretic optimal design of output-feedback controllers via iterative convex relaxations, On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies, Management of Portfolio Depletion Risk through Optimal Life Cycle Asset Allocation, Risk-averse autonomous systems: a brief history and recent developments from the perspective of optimal control
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Time-inconsistent multistage stochastic programs: martingale bounds
- Optimal stochastic control, stochastic target problems, and backward SDE.
- Convexity of the cost functional in an optimal control problem for a class of positive switched systems
- Optimal mean-variance portfolio selection
- Risk-averse dynamic programming for Markov decision processes
- Semiconcave functions, Hamilton-Jacobi equations, and optimal control
- Dynamic monetary risk measures for bounded discrete-time processes
- Second order elliptic equations in \(\mathbb{R}^{d}\) with piecewise continuous coefficients
- Optimal control of a multistate failure-prone manufacturing system under a conditional value-at-risk cost criterion
- Multi-grid methods for Hamilton-Jacobi-Bellman equations
- On the Hamilton-Jacobi-Bellman equations
- Strong maximum principle for semicontinuous viscosity solutions of nonlinear partial differential equations
- Theory of constant proportion portfolio insurance
- Elliptic partial differential equations of second order
- From stochastic dominance to mean-risk models: Semideviations as risk measures
- Dynamic approaches for some time-inconsistent optimization problems
- Markov decision processes with average-value-at-risk criteria
- An adaptive sparse grid semi-Lagrangian scheme for first order Hamilton-Jacobi Bellman equations
- Elliptic and parabolic equations with measurable coefficients in weighted Sobolev spaces
- Parabolic equations with measurable coefficients. II.
- Uniqeness results for fully nonlinear degenerate elliptic equations with discontinuous coefficients
- Coherent multiperiod risk adjusted values and Bellman's principle
- Conditional value at risk and related linear programming models for portfolio optimization
- Dynamic coherent risk measures
- On weak uniqueness for some diffusions with discontinuous coefficients
- Controlled Markov processes and viscosity solutions
- Coherent Measures of Risk
- An Introduction To Viscosity Solutions for Fully Nonlinear PDE with Applications to Calculus of Variations in L∞
- Nonlinear PDE Approach to Time-Inconsistent Optimal Stopping
- RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
- Parabolic and Elliptic Equations with VMO Coefficients
- Minimum Average Value-at-Risk for Finite Horizon Semi-Markov Decision Processes in Continuous Time
- DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES
- Nonuniqueness for Second-Order Elliptic Equations with Measurable Coefficients
- Risk-sensitive control and dynamic games for partially observed discrete-time nonlinear systems
- Risk-Sensitive Control on an Infinite Time Horizon
- Convex Control Systems and Convex Optimal Control Problems With Constraints
- Risk-Averse Control of Undiscounted Transient Markov Models
- A Convex Analytic Approach to Risk-Aware Markov Decision Processes
- Variance-Constrained Risk Sharing in Stochastic Systems
- Time-Inconsistent Portfolio Investment Problems
- Optimization of Convex Risk Functions
- Convex Analysis
- Distribution‐constrained optimal stopping
- On the solution of nonlinear hyperbolic differential equations by finite differences