5 papers
A Variational Analysis Approach to Solving the Merton Problem
Ali Al-Aradi, Sebastian Jaimungal
We address the Merton problem of maximizing the expected utility of terminal wealth using techniques from variational analysis. Under a general continuous semimartingale market mod…
Active and Passive Portfolio Management with Latent Factors
Ali Al-Aradi, Sebastian Jaimungal
We address a portfolio selection problem that combines active (outperformance) and passive (tracking) objectives using techniques from convex analysis. We assume a general semimart…
Solving Nonlinear and High-Dimensional Partial Differential Equations via Deep Learning
Ali Al-Aradi, Adolfo Correia, Danilo Naiff +2
In this work we apply the Deep Galerkin Method (DGM) described in Sirignano and Spiliopoulos (2018) to solve a number of partial differential equations that arise in quantitative f…
Technical Uncertainty in Real Options with Learning
Ali Al-Aradi, Alvaro Cartea, Sebastian Jaimungal
We introduce a new approach to incorporate uncertainty into the decision to invest in a commodity reserve. The investment is an irreversible one-off capital expenditure, after whic…
Outperformance and Tracking: Dynamic Asset Allocation for Active and Passive Portfolio Management
Ali Al-Aradi, Sebastian Jaimungal
Portfolio management problems are often divided into two types: active and passive, where the objective is to outperform and track a preselected benchmark, respectively. Here, we f…