5 papers
Multi periods mean-DCVaR optimization: a Recursive Neural Network resolution
Jérôme Lelong, Véronique Maume-Deschamps, William Thevenot
We study a discrete-time multi-period portfolio optimization problem under an explicit constraint on the Deviation Conditional Value-at-Risk (DCVaR), defined as the excess of Condi…
How can the dual martingale help solving the primal optimal stopping problem?
Aurélien Alfonsi, Ahmed Kebaier, Jérôme Lelong
Motivated by recent results on the dual formulation of optimal stopping problems, we investigate in this short paper how the knowledge of an approximating dual martingale can impro…
A Martingale approach to continuous Portfolio Optimization under CVaR like constraints
Jérôme Lelong, Véronique Maume-Deschamps, William Thevenot
We study a continuous-time portfolio optimization problem under an explicit constraint on the Deviation Conditional Value-at-Risk (DCVaR), defined as the difference between the CVa…
Sample Average Approximation for Portfolio Optimization under CVaR constraint in an (re)insurance context
Jérôme Lelong, Véronique Maume-Deschamps, William Thevenot
We consider optimal allocation problems with Conditional Value-At-Risk (CVaR) constraint. We prove, under very mild assumptions, the convergence of the Sample Average Approximation…
Pricing American options using martingale bases
Jérôme Lelong
In this work, we propose an algorithm to price American options by directly solving the dual minimization problem introduced by Rogers. Our approach relies on approximating the set…