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20172019
most citedA comment on 'Testing Goodwin: growth cycles in ten OECD countries'

28 citations · 42 across the 6 of their papers we have counts for

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Showing 2019Show all

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math.OC2019

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…

math.OC2019★ 14 cited

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…