12 citations · 34 across the 11 of their papers we have counts for
7 papers · 1 filter
Robust exploratory mean-variance problem with drift uncertainty
Chenchen Mou, Weiwei Zhang, Chao Zhou
We solve a min-max problem in a robust exploratory mean-variance problem with drift uncertainty in this paper. It is verified that robust investors choose the Sharpe ratio with min…
Mean Field Exponential Utility Game: A Probabilistic Approach
Guanxing Fu, Xizhi Su, Chao Zhou
We study an -player and a mean field exponential utility game. Each player manages two stocks; one is driven by an individual shock and the other is driven by a common shock. Mo…
On Dynamic Programming Principle for Stochastic Control under Expectation Constraints
Yuk-Loong Chow, Xiang Yu, Chao Zhou
This paper studies the dynamic programming principle using the measurable selection method for stochastic control of continuous processes. The novelty of this work is to incorporat…
Unbiased Simulation for Optimizing Stochastic Function Compositions
Jose Blanchet, Donald Goldfarb, Garud Iyengar +2
In this paper, we introduce an unbiased gradient simulation algorithms for solving convex optimization problem with stochastic function compositions. We show that the unbiased grad…
Using Negative Curvature in Solving Nonlinear Programs
Donald Goldfarb, Cun Mu, John Wright +1
Minimization methods that search along a curvilinear path composed of a non-ascent nega- tive curvature direction in addition to the direction of steepest descent, dating back to t…
Linear Convergence of Stochastic Frank Wolfe Variants
Donald Goldfarb, Garud Iyengar, Chaoxu Zhou
In this paper, we show that the Away-step Stochastic Frank-Wolfe Algorithm (ASFW) and Pairwise Stochastic Frank-Wolfe algorithm (PSFW) converge linearly in expectation. We also sho…