78 citations · 85 across the 10 of their papers we have counts for
13 papers
Reinforcement Learning for Risk-Sensitive Investment Management: a Free Energy--Entropy Duality Approach
Sebastien Lleo, Wolfgang Runggaldier
This paper develops a reinforcement-learning approach to continuous-time risk-sensitive benchmarked asset allocation in a partly model-based setting. The benchmarked problem does n…
Risk-Sensitive Investment Management via Free Energy-Entropy Duality
Sebastien Lleo, Wolfgang Runggaldier
We study a benchmarked risk-sensitive portfolio problem in a factor-based setting to bring together three strands of the literature: benchmarked risk-sensitive investment managemen…
Exploratory Randomization for Discrete-Time Risk-Sensitive Benchmarked Investment Management with Reinforcement Learning
Sebastien Lleo, Wolfgang Runggaldier
This paper bridges reinforcement learning (RL) and risk-sensitive stochastic control by introducing a tractable exploration mechanism for policy search in risk-sensitive portfolio…
Exploratory Randomization for Discrete-Time Linear Exponential Quadratic Gaussian (LEQG) Problem
Sebastien Lleo, Wolfgang Runggaldier
We investigate exploratory randomization for an extended linear-exponential-quadratic-Gaussian (LEQG) control problem in discrete time. This extended control problem is related to…
On the Separation of Estimation and Control in Risk-Sensitive Investment Problems under Incomplete Observation
Sébastien Lleo, Wolfgang J. Runggaldier
A typical approach to tackle stochastic control problems with partial observation is to separate the control and estimation tasks. However, it is well known that this separation ge…
A stochastic control perspective on term structure models with roll-over risk
Claudio Fontana, Simone Pavarana, Wolfgang J. Runggaldier
In this paper, we consider a generic interest rate market in the presence of roll-over risk, which generates spreads in spot/forward term rates. We do not require classical absence…
Arbitrage concepts under trading restrictions in discrete-time financial markets
Claudio Fontana, Wolfgang J. Runggaldier
In a discrete-time setting, we study arbitrage concepts in the presence of convex trading constraints. We show that solvability of portfolio optimization problems is equivalent to…
Arbitrage and utility maximization in market models with an insider
Ngoc Huy Chau, Wolfgang Runggaldier, Peter Tankov
We study arbitrage opportunities, market viability and utility maximization in market models with an insider. Assuming that an economic agent possesses from the beginning an additi…
Derivative pricing for a multi-curve extension of the Gaussian, exponentially quadratic short rate model
Zorana Grbac, Laura Meneghello, Wolfgang J. Runggaldier
The recent financial crisis has led to so-called multi-curve models for the term structure. Here we study a multi-curve extension of short rate models where, in addition to the sho…
On the Existence of Martingale Measures in Jump Diffusion Market Models
Jacopo Mancin, Wolfgang J. Runggaldier
In the context of jump-diffusion market models we construct examples that satisfy the weaker no-arbitrage condition of NA1 (NUPBR), but not NFLVR. We show that in these examples th…
A Systematic Approach to Constructing Market Models With Arbitrage
Johannes Ruf, Wolfgang Runggaldier
This short note provides a systematic construction of market models without unbounded profits but with arbitrage opportunities.
Diffusion-based models for financial markets without martingale measures
Claudio Fontana, Wolfgang J. Runggaldier
We consider a general class of diffusion-based models and show that, even in the absence of an Equivalent Local Martingale Measure, the financial market may still be viable, in the…
Large portfolio losses: A dynamic contagion model
Paolo Dai Pra, Wolfgang J. Runggaldier, Elena Sartori +1
Using particle system methodologies we study the propagation of financial distress in a network of firms facing credit risk. We investigate the phenomenon of a credit crisis and qu…