28 citations · 42 across the 6 of their papers we have counts for
3 papers · 1 filter
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…
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…