90 citations · 165 across the 16 of their papers we have counts for
4 papers · 1 filter
Discrete-time portfolio optimization under maximum drawdown constraint with partial information and deep learning resolution
Carmine De Franco, Johann Nicolle, Huyên Pham
We study a discrete-time portfolio selection problem with partial information and maxi\-mum drawdown constraint. Drift uncertainty in the multidimensional framework is modeled by a…
Equilibrium price in intraday electricity markets
René Aid, Andrea Cosso, Huyên Pham
We formulate an equilibrium model of intraday trading in electricity markets. Agents face balancing constraints between their customers consumption plus intraday sales and their pr…
Mean-variance portfolio selection with tracking error penalization
William Lefebvre, Gregoire Loeper, Huyên Pham
This paper studies a variation of the continuous-time mean-variance portfolio selection where a tracking-error penalization is added to the mean-variance criterion. The tracking er…
Markowitz portfolio selection for multivariate affine and quadratic Volterra models
Eduardo Abi Jaber, Enzo Miller, Huyên Pham
This paper concerns portfolio selection with multiple assets under rough covariance matrix. We investigate the continuous-time Markowitz mean-variance problem for a multivariate cl…