28 citations · 42 across the 6 of their papers we have counts for
7 papers
Portfolio Optimization under Correlation Constraint
Aditya Maheshwari, Traian Pirvu
We consider the problem of portfolio optimization with a correlation constraint. The framework is the multiperiod stochastic financial market setting with one tradable stock, stoch…
Statistical Learning for Probability-Constrained Stochastic Optimal Control
Alessandro Balata, Michael Ludkovski, Aditya Maheshwari +1
We investigate Monte Carlo based algorithms for solving stochastic control problems with probabilistic constraints. Our motivation comes from microgrid management, where the contro…
Simulation Methods for Stochastic Storage Problems: A Statistical Learning Perspective
Michael Ludkovski, Aditya Maheshwari
We consider solution of stochastic storage problems through regression Monte Carlo (RMC) methods. Taking a statistical learning perspective, we develop the dynamic emulation algori…
Testing a Goodwin model with general capital accumulation rate
Matheus R. Grasselli, Aditya Maheshwari
We perform econometric tests on a modified Goodwin model where the capital accumulation rate is constant but not necessarily equal to one as in the original model (Goodwin, 1967).…
A comment on 'Testing Goodwin: growth cycles in ten OECD countries'
Matheus R. Grasselli, Aditya Maheshwari
We revisit the results of Harvie (2000) and show how correcting for a reporting mistake in some of the estimated parameter values leads to significantly different conclusions, incl…
Regression Monte Carlo for Microgrid Management
Clemence Alasseur, Alessandro Balata, Sahar Ben Aziza +3
We study an islanded microgrid system designed to supply a small village with the power produced by photovoltaic panels, wind turbines and a diesel generator. A battery storage sys…
Modeling Financial System with Interbank Flows, Borrowing, and Investing
Aditya Maheshwari, Andrey Sarantsev
In our model, private actors with interbank cash flows similar to, but nore general than (Carmona, Fouque, Sun, 2013) borrow from the outside economy at a certain interest rate, co…