2 citations · 4 across the 8 of their papers we have counts for
4 papers · 2 filters
Portfolio Optimization with Nondominated Priors and Unbounded Parameters
Kerem Ugurlu
We consider classical Merton problem of terminal wealth maximization in finite horizon. We assume that the drift of the stock is following Ornstein-Uhlenbeck process and the volati…
Decomposability and time consistency of risk averse multistage programs
Alexander Shapiro, Kerem Ugurlu
Two approaches to time consistency of risk averse multistage stochastic problems were discussed in the recent literature. In one approach certain properties of the cor-responding r…
Dynamic optimal contract under parameter uncertainty with risk averse agent and principal
Kerem Ugurlu
We consider a continuous time Principal-Agent model on a finite time horizon, where we look for the existence of an optimal contract both parties agreed on. Contrary to the main st…
Robust Optimal Control Using Conditional RiskMappings in Infinite Horizon
Kerem Ugurlu
We use one-step conditional risk mappings to formulate a risk averse version of a total cost problem on a controlled Markov process in discrete time infinite horizon. The nonnegati…