59 citations · 199 across the 36 of their papers we have counts for
42 papers
Robo-Advising in Motion: A Model Predictive Control Approach
Tomasz R. Bielecki, Igor Cialenco
Robo-advisors (RAs) are automated portfolio management systems that complement traditional financial advisors by offering lower fees and smaller initial investment requirements. Wh…
Coherent estimation of risk measures
Martin Aichele, Igor Cialenco, Damian Jelito +1
We develop a statistical framework for risk estimation, inspired by the axiomatic theory of risk measures. Coherent risk estimators -- functionals of P\&L samples inheriting the ec…
Time consistency of dynamic risk measures and dynamic performance measures generated by distortion functions
Tomasz R. Bielecki, Igor Cialenco, Hao Liu
The aim of this work is to study risk measures generated by distortion functions in a dynamic discrete time setup, and to investigate the corresponding dynamic coherent acceptabili…
Risk Filtering and Risk-Averse Control of Markovian Systems Subject to Model Uncertainty
Tomasz R. Bielecki, Igor Cialenco, Andrzej Ruszczyński
We consider a Markov decision process subject to model uncertainty in a Bayesian framework, where we assume that the state process is observed but its law is unknown to the observe…
Risk-sensitive Markov decision problems under model uncertainty: finite time horizon case
Tomasz R. Bielecki, Tao Chen, Igor Cialenco
In this paper we study a class of risk-sensitive Markovian control problems in discrete time subject to model uncertainty. We consider a risk-sensitive discounted cost criterion wi…
Statistical analysis of discretely sampled semilinear SPDEs: a power variation approach
Igor Cialenco, Hyun-Jung Kim, Gregor Pasemann
Motivated by problems from statistical analysis for discretely sampled SPDEs, first we derive central limit theorems for higher order finite differences applied to stochastic proce…