Search Results for author: Thaleia Zariphopoulou

Found 6 papers, 0 papers with code

Representation of forward performance criteria with random endowment via FBSDE and application to forward optimized certainty equivalent

no code implementations29 Dec 2023 Gechun Liang, Yifan Sun, Thaleia Zariphopoulou

We, also, consider representative examples for both forward performance criteria with random endowment and forward OCE, and for the case of exponential criteria, we investigate the connection between forward OCE and forward entropic risk measures.

Stochastic Optimization

$N$-player and Mean-field Games in Itô-diffusion Markets with Competitive or Homophilous Interaction

no code implementations1 Jun 2021 Ruimeng Hu, Thaleia Zariphopoulou

In It\^{o}-diffusion environments, we introduce and analyze $N$-player and common-noise mean-field games in the context of optimal portfolio choice in a common market.

Competition in Fund Management and Forward Relative Performance Criteria

no code implementations2 Nov 2020 Michail Anthropelos, Tianran Geng, Thaleia Zariphopoulou

An important by-product of the work herein is the development of forward performance criteria for investment problems in Ito-diffusion markets under the presence of correlated random endowment process for both the perfectly and the incomplete market cases.

Management

Personalized Robo-Advising: Enhancing Investment through Client Interaction

no code implementations4 Nov 2019 Agostino Capponi, Sveinn Olafsson, Thaleia Zariphopoulou

The risk-return tradeoff adapts to the client's risk profile, which depends on idiosyncratic characteristics, market returns, and economic conditions.

Portfolio Optimization

Exploration versus exploitation in reinforcement learning: a stochastic control approach

no code implementations4 Dec 2018 Haoran Wang, Thaleia Zariphopoulou, Xunyu Zhou

We carry out a complete analysis of the problem in the linear--quadratic (LQ) setting and deduce that the optimal feedback control distribution for balancing exploitation and exploration is Gaussian.

reinforcement-learning Reinforcement Learning (RL)

Cannot find the paper you are looking for? You can Submit a new open access paper.