6 papers
Regret-Optimal Linear-Quadratic Control under Distributional Drift
Lukas-Benedikt Fiechtner, Jose Blanchet
We study finite-horizon LQR with independent disturbances whose laws may drift over time. We address uncertainty in this evolution through ex-ante distributionally robust regret op…
Strategic Index Reconstitution: Differential Games, Closed-Loop Equilibria and Mean-Field Dynamics
Lukas-Benedikt Fiechtner, Jose Blanchet
We study a continuous-time, multiasset trading game around index reconstitution, in which opportunistic traders have heterogeneous beliefs about the future index constitution and i…
Optimal Online and Offline Algorithms for Contextual MNL with Applications to Assortment and Pricing
Yunfan Zhang, Yuxuan Han, Hongyu Shan +2
Selecting which products to display and at what prices is a central decision in retail and e-commerce operations. In many applications, these two choices must be made jointly under…
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…
Bayesian Distributionally Robust Merton Problem with Nonlinear Wasserstein Projections
Jose Blanchet, Jiayi Cheng, Hao Liu +1
We revisit Merton's continuous-time portfolio selection through a data-driven, distributionally robust lens. Our aim is to tap the benefits of frequent trading over short horizons…
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…