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q-fin.PM2026
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…
q-fin.CP2026
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…