Within a traditional context of myopic discrete-time mean-variance portfolio investments, the problem of conditioned optimisation, in which predictive information about returns contained in a signal is used to inform the choice of portfolio weights, was first expressed and solved in concrete...

In the classical discrete-time mean-variance context, a method for portfolio optimisation using conditioning information was introduced in 2001 by Ferson and Siegel ([1]). The fact that there are many possible signals that could be used as conditioning information, and a number of empirical...

Within a traditional context of myopic discrete-time mean-variance portfolio investments, the problem of conditioned optimisation, in which predictive information about returns contained in a signal is used to inform the choice of portfolio weights, was first expressed and solved in concrete...

In this paper, we consider optimal control problems involving a multidimensional objective function integral. We propose a direct collocation discretisation scheme suitable for the numerical solution of problems of this type. A convergence result is established to show that the scheme is...

In this paper, we consider optimal control problems involving a multidimensional objective function integral. We propose a direct collocation discretisation scheme suitable for the numerical solution of problems of this type. A convergence result is established to show that the scheme is...

This paper evaluates several alternative formulations for minimizing the credit risk of a portfolio of financial contracts with different counterparties. Credit risk optimization is challenging because the portfolio loss distribution is typically unavailable in closed form. This makes it...

The paper develops an optimal control model to analyse various management options for infectious diseases that occur in metapopulations, under both Nash and cooperative behaviour. As pathogens are renewable resources with negative value, the problem may be non-convex. Since the disease can be...

In this thesis we explore some uses of optimal control and mass transport in economic modeling. We thus catch the opportunity to bring together some works involving both tools, sometimes mixing them. First, we briefly present the recent mean field games theory introduced by Lasry & Lions and...

Government environmental regulations, along with increasing awareness and demand from customers for firms to be sustainable, are driving firms to implement new technologies to enhance the sustainability practices of their firms. Given a finite implementation horizon and a target improvement...

Although portfolio management didn’t change much during the 40 years after the seminal works of Markowitz and Sharpe, the development of risk budgeting techniques marked an important milestone in the deepening of the relationship between risk and asset management. Risk parity then became a...