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06/17/2023
A Survey of Contextual Optimization Methods for Decision Making under Uncertainty
Recently there has been a surge of interest in operations research (OR) ...
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06/09/2023
Robust Data-driven Prescriptiveness Optimization
The abundance of data has led to the emergence of a variety of optimizat...
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04/24/2023
On Dynamic Program Decompositions of Static Risk Measures
Optimizing static risk-averse objectives in Markov decision processes is...
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10/28/2022
Risk-Aware Bid Optimization for Online Display Advertisement
This research focuses on the bid optimization problem in the real-time b...
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09/14/2021
WaveCorr: Correlation-savvy Deep Reinforcement Learning for Portfolio Management
The problem of portfolio management represents an important and challeng...
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09/09/2021
Deep Reinforcement Learning for Equal Risk Pricing and Hedging under Dynamic Expectile Risk Measures
Recently equal risk pricing, a framework for fair derivative pricing, wa...
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05/19/2021
Deep Reinforcement Learning for Optimal Stopping with Application in Financial Engineering
Optimal stopping is the problem of deciding the right time at which to t...
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03/30/2021
Robustifying Conditional Portfolio Decisions via Optimal Transport
We propose a data-driven portfolio selection model that integrates side ...
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10/12/2020
Distributionally Robust Local Non-parametric Conditional Estimation
Conditional estimation given specific covariate values (i.e., local cond...
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03/17/2020