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math.OC2020
Markowitz portfolio selection for multivariate affine and quadratic Volterra models
Eduardo Abi Jaber, Enzo Miller, Huyên Pham
This paper concerns portfolio selection with multiple assets under rough covariance matrix. We investigate the continuous-time Markowitz mean-variance problem for a multivariate cl…
math.OC2019
Integral operator Riccati equations arising in stochastic Volterra control problems
Eduardo Abi Jaber, Enzo Miller, Huyen Pham
We establish existence and uniqueness for infinite dimensional Riccati equations taking values in the Banach space L 1 ( ) for certain signed matrix measures wh…
math.OC2019
Linear--Quadratic control for a class of stochastic Volterra equations: solvability and approximation
Eduardo Abi Jaber, Enzo Miller, Huyên Pham
We provide an exhaustive treatment of Linear-Quadratic control problems for a class of stochastic Volterra equations of convolution type, whose kernels are Laplace transforms of ce…