1 citations · 1 across the 5 of their papers we have counts for
6 papers
Minimal Shortfall Strategies for Liquidation of a Basket of Stocks using Reinforcement Learning
Moustapha Pemy, Na Zhang
This paper studies the ubiquitous problem of liquidating large quantities of highly correlated stocks, a task frequently encountered by institutional investors and proprietary trad…
Explicit Solutions for Optimal Resource Extraction Problems under Regime Switching Lévy Models
Moustapha Pemy
This paper studies the problem of optimally extracting nonrenewable natural resources. Taking into account the fact that the market values of the main natural resources i.e. oil, n…
Optimal Oil Production and Taxation in Presence of Global Disruptions
Moustapha Pemy
This paper studies the optimal extraction policy of an oil field as well as the efficient taxation of the revenues generated. Taking into account the fact that the oil price in wor…
Optimal Oil Production under Mean Reverting Lévy Models with Regime Switching
Moustapha Pemy
This paper is concerned with the problem of finding the optimal of extraction policies of an oil field in light of various financial and economical restrictions and constraints. Ta…
Optimal Extraction and Taxation of Strategic Natural Resources: A Differential Game Approach
Moustapha Pemy
This paper studies the optimal extraction and taxation of nonrenewable natural resources. It is well known that the market values of the main strategic resources such as oil, natur…
Optimal Resource Extraction in Regime Switching Lévy Markets
Moustapha Pemy
This paper studies the problem of optimally extracting nonrenewable natural resource in light of various financial and economic restrictions and constraints. Taking into account th…