4 citations · 7 across the 4 of their papers we have counts for
4 papers
Mean-Variance Optimization in Ambiguous Financial Markets with Learning
Nicole Bäuerle, Anne MacKay
We consider a continuous time investment problem in a multi-asset Black-Scholes market with the following features: The assets' drifts are not known and constitute a source of mode…
Markov Decision Processes of the Third Kind: Learning Distributions by Policy Gradient Descent
Nicole Bäuerle, Athanasios Vasileiadis
The goal of this paper is to analyze distributional Markov Decision Processes as a class of control problems in which the objective is to learn policies that steer the distribution…
Optimal investment under partial information and robust VaR-type constraint
Nicole Bäuerle, An Chen
This paper extends the utility maximization literature by combining partial information and (robust) regulatory constraints. Partial information is characterized by the fact that t…
Partially Observable Risk-Sensitive Stopping Problems in Discrete Time
Nicole Bäuerle, Ulrich Rieder
In this paper we consider stopping problems with partial observation under a general risk-sensitive optimization criterion for problems with finite and infinite time horizon. Our a…