4 papers
Strategic Index Reconstitution: Differential Games, Closed-Loop Equilibria and Mean-Field Dynamics
Lukas-Benedikt Fiechtner, Jose Blanchet
We study strategic trading around index reconstitution in a continuous-time, multiasset game with transient cross-asset price impact and heterogeneous beliefs about future index me…
Distributionally Robust Regret Optimal LQR with Common Stage-Law Ambiguity
Lukas-Benedikt Fiechtner, Jose Blanchet
We study what is, to our knowledge, the first tractable multistage ex-ante distributionally robust regret optimization (DRRO) formulation for stochastic control. We consider finite…
Distributionally Robust Control with Constraints on Linear Unidimensional Projections
Alexandros E. Tzikas, Lukas Fiechtner, Arec Jamgochian +1
Distributionally robust control is a well-studied framework for optimal decision making under uncertainty, with the objective of minimizing an expected cost function over control a…
Wasserstein Distributionally Robust Regret Optimization
Lukas-Benedikt Fiechtner, Jose Blanchet
Distributionally robust optimization (DRO) is widely used for decision-making under uncertainty, but its adversarial focus on worst-case loss can lead to overly conservative polici…