Portfolio management can be eeectuated through solutions to stochastic optimal control problems. Few problems of that kind can be solved analytically. A numerical method based on a simple Markovian approximation is described and applied to a classical optimal portfolio selection problem. Numerical solutions of varying degree of accuracy are obtained. Solutions are computed to a few important sp...

One common approach to imitation learning is behavioral cloning (BC), which employs straightforward supervised learning (i.e., classification) to directly map observations to controls. A second approach is inverse optimal control (IOC), which formalizes the problem of learning sequential decision-making behavior over long horizons as a problem of recovering a utility function that explains obse...

In this paper we consider the optimal trading strategy for an investor with an exponentially distributed horizon who invests in a riskless asset and a risky asset. The risky asset is subject to proportional transaction costs and its price follows a jump diffusion. In this situation, the optimal trading strategy is to maintain the fraction of the dollar amount invested in the riskless asset to t...

The classical secretary problem has been generalized over the years into several directions. In this paper we confine our interest to those generalizations which have to do with the more general problem of stopping on a last observation of a specific kind. We follow Dendievel [10], [11], (where a bibliography can be found) who studies several types of such problems, mainly initiated by Bruss [3...

Li & Racine (2008) consider the nonparametric estimation of conditional cumulative distribution functions (CDF) in the presence of discrete and continuous covariates along with the associated conditional quantile function. However, they did not propose an optimal data-driven method of bandwidth selection and left this important problem as an ‘open question’. In this paper we propose an automati...