A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Paper proposes CVaR-TS for risk-constrained MAB problems.
Paper proposes risk-averse reinforcement learning algorithms.
Study risk-constrained Kelly optimization for mutually exclusive outcomes, proving support invariance and developing a structured algorithm.
Due to the limited predictability of wind power and other stochastic generation, trading this energy in competitive electricity markets is challenging. This paper derives revenue-maximising and risk-constrained strategies for stochastic generators participating in electricity markets with a single-price balancing mecha…
This study optimizes energy storage scheduling under price uncertainty, balancing risk and reward.
We investigate the ergodic problem of growth-rate maximization under a class of risk constraints in the context of incomplete, Itô-process models of financial markets with random ergodic coefficients. Including {\em value-at-risk} (VaR), {\em tail-value-at-risk} (TVaR), and {\em limited expected loss} (LEL), these cons…
We propose an computational framework for real-time risk assessment and prioritizing for random outcomes without prior information on probability distributions. The basic model is built based on satisficing measure (SM) which yields a single index for risk comparison. Since SM is a dual representation for a family of r…
VaR-CPO optimizes VaR-constrained RL problems with conservative policy updates.
We consider the classic Kelly gambling problem with general distribution of outcomes, and an additional risk constraint that limits the probability of a drawdown of wealth to a given undesirable level. We develop a bound on the drawdown probability; using this bound instead of the original risk constraint yields a conv…
We propose an iterative gradient-based algorithm to efficiently solve the portfolio selection problem with multiple spectral risk constraints. Since the conditional value at risk (CVaR) is a special case of the spectral risk measure, our algorithm solves portfolio selection problems with multiple CVaR constraints. In e…
VA-LUCB identifies best arm with variance constraint, achieving optimal sample complexity.
We study a risk-constrained version of the stochastic shortest path (SSP) problem, where the risk measure considered is Conditional Value-at-Risk (CVaR). We propose two algorithms that obtain a locally risk-optimal policy by employing four tools: stochastic approximation, mini batches, policy gradients and importance s…
Solves VaR-constrained portfolio optimization in markets with stochastic volatility.
Algorithm minimizes regret in multi-criteria bandits with constraints.
Algorithm optimizes a single attribute in multi-armed bandits with constraints.
The paper tackles dynamic collateral control for spot-perpetual basis trading in decentralized finance.
Boosted Difference of Convex Functions Algorithm solves VaR constrained portfolio optimization.