Documents disponibles écrits par cet auteur

Aspirational preferences and their representation by risk measures / Brown, David B. in Management science, Vol. 58 N° 11 (Novembre 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 11 (Novembre 2012) . - pp. 2095-2113 Titre : Aspirational preferences and their representation by risk measures Type de document : texte imprimé Auteurs : Brown, David B., Auteur ; Enrico De Giorgi, Auteur ; Melvyn Sim, Auteur Année de publication : 2013 Article en page(s) : pp. 2095-2113 Note générale : Management Langues : Anglais (eng) Mots-clés : Representation  of  choice  Risk  measures  Aspiration  levels  Decision  theory  paradoxes Résumé : We consider choice over uncertain, monetary payoffs and study a general class of preferences. These preferences favor diversification, except perhaps on a subset of sufficiently disliked acts over which concentration is instead preferred. This structure encompasses a number of known models (e.g., expected utility and several variants under a concave utility function). We show that such preferences share a representation in terms of a family of measures of risk and targets. Specifically, the choice function is equivalent to selection of a maximum index level such that the risk of beating the target at that level is acceptable. This representation may help to uncover new models of choice. One that we explore in detail is the special case when the targets are bounded. This case corresponds to a type of satisficing and has descriptive relevance. Moreover, the model is amenable to large-scale optimization. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/11/2095.abstract [article] Aspirational preferences and their representation by risk measures [texte imprimé] / Brown, David B., Auteur ; Enrico De Giorgi, Auteur ; Melvyn Sim, Auteur . - 2013 . - pp. 2095-2113. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 11 (Novembre 2012) . - pp. 2095-2113 Mots-clés : Representation  of  choice  Risk  measures  Aspiration  levels  Decision  theory  paradoxes Résumé : We consider choice over uncertain, monetary payoffs and study a general class of preferences. These preferences favor diversification, except perhaps on a subset of sufficiently disliked acts over which concentration is instead preferred. This structure encompasses a number of known models (e.g., expected utility and several variants under a concave utility function). We show that such preferences share a representation in terms of a family of measures of risk and targets. Specifically, the choice function is equivalent to selection of a maximum index level such that the risk of beating the target at that level is acceptable. This representation may help to uncover new models of choice. One that we explore in detail is the special case when the targets are bounded. This case corresponds to a type of satisficing and has descriptive relevance. Moreover, the model is amenable to large-scale optimization. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/11/2095.abstract

Constrained stochastic LQC / Bertsimas, Dimitris in IEEE transactions on automatic control, Vol. 52 N°10 (Octobre 2007) 

Public ISBD [article]  in IEEE transactions on automatic control > Vol. 52 N°10 (Octobre 2007) . - 1826-1841 p. Titre : Constrained stochastic LQC : A Tractable approach Titre original : LQC stochastique contraint: une approche menable Type de document : texte imprimé Auteurs : Bertsimas, Dimitris, Auteur ; Brown, David B., Auteur Article en page(s) : 1826-1841 p. Note générale : Automatique Langues : Anglais (eng) Mots-clés : Control  with  constraints  Linear-quadratic  control  Robust  optimization  Semidefinite  optimization  Commande  avec  des  contraintes  Commande  d'équation  quadratique  linéaire  Optimisation  robuste  Optimisation  semi-définie Index. décimale : 629.8 Résumé : Despite the celebrated success of dynamic programming for optimizing quadratic cost functions over linear systems, such an approach is limited by its inability to tractably deal with even simple constraints. In this paper, we present an alternative approach based on results from robust optimization to solve the stochastic linear-quadratic control (SLQC) problem. In the unconstrained case, the problem may be formulated as a semidefinite optimization problem (SDP). We show that we can reduce this SDP to optimization of a convex function over a scalar variable followed by matrix multiplication in the current state, thus yielding an approach that is amenable to closed-loop control and analogous to the Riccati equation in our framework. We also consider a tight, second-order cone (SOCP) approximation to the SDP that can be solved much more efficiently when the problem has additional constraints. Both the SDP and SOCP are tractable in the presence of control and state space constraints; moreover, compared to the Riccati approach, they provide much greater control over the stochastic behavior of the cost function when the noise in the system is distributed normally. En dépit du succès célébré de la programmation dynamique pour optimiser des fonctions de coût quadratiques au-dessus des systèmes linéaires, une telle approche est limitée par son incapacité de traiter tractably même des contraintes simples. En ce document, nous présentons une approche alternative basée sur des résultats d'optimisation robuste pour résoudre le problème stochastique de la commande d'équation quadratique linéaire (SLQC).Dans le cas sans contrainte, le problème peut être formulé comme problème semi-défini d'optimisation (SDP). Nous prouvons que nous pouvons ramener ce SDP à l'optimisation d'une fonction convexe au-dessus d'une variable scalaire suivie de multiplication de matrice dans l'état actuel, de ce fait rapportant une approche qui est favorable à la commande en circuit fermé et analogue à l'équation de Riccati dans notre cadre. Nous considérons également une approximation serrée et de second ordre du cône (SOCP) au SDP qui peut être résolu beaucoup plus efficacement quand le problème a des contraintes additionnelles. Le SDP et SOCP sont menables en présence des contraintes de l'espace de commande et d'état ; d'ailleurs, comparé à l'approche de Riccati, ils fournissent un contrôle beaucoup plus grand du comportement stochastique de la fonction de coût quand le bruit dans le système est distribué normalement. DEWEY : 629.8 ISSN : 0018-9286 RAMEAU : Commande linéaire En ligne : dbertsim@mit.edu, dbbrown@duke.edu [article] Constrained stochastic LQC = LQC stochastique contraint: une approche menable : A Tractable approach [texte imprimé] / Bertsimas, Dimitris, Auteur ; Brown, David B., Auteur . - 1826-1841 p. Automatique Langues : Anglais (eng) in IEEE transactions on automatic control > Vol. 52 N°10 (Octobre 2007) . - 1826-1841 p. Mots-clés : Control  with  constraints  Linear-quadratic  control  Robust  optimization  Semidefinite  optimization  Commande  avec  des  contraintes  Commande  d'équation  quadratique  linéaire  Optimisation  robuste  Optimisation  semi-définie Index. décimale : 629.8 Résumé : Despite the celebrated success of dynamic programming for optimizing quadratic cost functions over linear systems, such an approach is limited by its inability to tractably deal with even simple constraints. In this paper, we present an alternative approach based on results from robust optimization to solve the stochastic linear-quadratic control (SLQC) problem. In the unconstrained case, the problem may be formulated as a semidefinite optimization problem (SDP). We show that we can reduce this SDP to optimization of a convex function over a scalar variable followed by matrix multiplication in the current state, thus yielding an approach that is amenable to closed-loop control and analogous to the Riccati equation in our framework. We also consider a tight, second-order cone (SOCP) approximation to the SDP that can be solved much more efficiently when the problem has additional constraints. Both the SDP and SOCP are tractable in the presence of control and state space constraints; moreover, compared to the Riccati approach, they provide much greater control over the stochastic behavior of the cost function when the noise in the system is distributed normally. En dépit du succès célébré de la programmation dynamique pour optimiser des fonctions de coût quadratiques au-dessus des systèmes linéaires, une telle approche est limitée par son incapacité de traiter tractably même des contraintes simples. En ce document, nous présentons une approche alternative basée sur des résultats d'optimisation robuste pour résoudre le problème stochastique de la commande d'équation quadratique linéaire (SLQC).Dans le cas sans contrainte, le problème peut être formulé comme problème semi-défini d'optimisation (SDP). Nous prouvons que nous pouvons ramener ce SDP à l'optimisation d'une fonction convexe au-dessus d'une variable scalaire suivie de multiplication de matrice dans l'état actuel, de ce fait rapportant une approche qui est favorable à la commande en circuit fermé et analogue à l'équation de Riccati dans notre cadre. Nous considérons également une approximation serrée et de second ordre du cône (SOCP) au SDP qui peut être résolu beaucoup plus efficacement quand le problème a des contraintes additionnelles. Le SDP et SOCP sont menables en présence des contraintes de l'espace de commande et d'état ; d'ailleurs, comparé à l'approche de Riccati, ils fournissent un contrôle beaucoup plus grand du comportement stochastique de la fonction de coût quand le bruit dans le système est distribué normalement. DEWEY : 629.8 ISSN : 0018-9286 RAMEAU : Commande linéaire En ligne : dbertsim@mit.edu, dbbrown@duke.edu

Dynamic portfolio optimization with transaction costs / Brown, David B. in Management science, Vol. 57 N° 10 (Octobre 2011) 

Public ISBD [article]  in Management science > Vol. 57 N° 10 (Octobre 2011) . - pp. 1752-1770 Titre : Dynamic portfolio optimization with transaction costs : Heuristics and dual bounds Type de document : texte imprimé Auteurs : Brown, David B., Auteur ; James E. Smith, Auteur Année de publication : 2012 Article en page(s) : pp. 1752-1770 Note générale : Management Langues : Anglais (eng) Mots-clés : Dynamic  programming  Portfolio  optimization Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : We consider the problem of dynamic portfolio optimization in a discrete-time, finite-horizon setting. Our general model considers risk aversion, portfolio constraints (e.g., no short positions), return predictability, and transaction costs. This problem is naturally formulated as a stochastic dynamic program. Unfortunately, with nonzero transaction costs, the dimension of the state space is at least as large as the number of assets, and the problem is very difficult to solve with more than one or two assets. In this paper, we consider several easy-to-compute heuristic trading strategies that are based on optimizing simpler models. We complement these heuristics with upper bounds on the performance with an optimal trading strategy. These bounds are based on the dual approach developed in Brown et al. (Brown, D. B., J. E. Smith, P. Sun. 2009. Information relaxations and duality in stochastic dynamic programs. Oper. Res. 58(4) 785–801). In this context, these bounds are given by considering an investor who has access to perfect information about future returns but is penalized for using this advance information. These heuristic strategies and bounds can be evaluated using Monte Carlo simulation. We evaluate these heuristics and bounds in numerical experiments with a risk-free asset and 3 or 10 risky assets. In many cases, the performance of the heuristic strategy is very close to the upper bound, indicating that the heuristic strategies are very nearly optimal. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/57/10/1752.abstract [article] Dynamic portfolio optimization with transaction costs : Heuristics and dual bounds [texte imprimé] / Brown, David B., Auteur ; James E. Smith, Auteur . - 2012 . - pp. 1752-1770. Management Langues : Anglais (eng) in Management science > Vol. 57 N° 10 (Octobre 2011) . - pp. 1752-1770 Mots-clés : Dynamic  programming  Portfolio  optimization Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : We consider the problem of dynamic portfolio optimization in a discrete-time, finite-horizon setting. Our general model considers risk aversion, portfolio constraints (e.g., no short positions), return predictability, and transaction costs. This problem is naturally formulated as a stochastic dynamic program. Unfortunately, with nonzero transaction costs, the dimension of the state space is at least as large as the number of assets, and the problem is very difficult to solve with more than one or two assets. In this paper, we consider several easy-to-compute heuristic trading strategies that are based on optimizing simpler models. We complement these heuristics with upper bounds on the performance with an optimal trading strategy. These bounds are based on the dual approach developed in Brown et al. (Brown, D. B., J. E. Smith, P. Sun. 2009. Information relaxations and duality in stochastic dynamic programs. Oper. Res. 58(4) 785–801). In this context, these bounds are given by considering an investor who has access to perfect information about future returns but is penalized for using this advance information. These heuristic strategies and bounds can be evaluated using Monte Carlo simulation. We evaluate these heuristics and bounds in numerical experiments with a risk-free asset and 3 or 10 risky assets. In many cases, the performance of the heuristic strategy is very close to the upper bound, indicating that the heuristic strategies are very nearly optimal. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/57/10/1752.abstract

Optimal portfolio liquidation with distress risk / Brown, David B. in Management science, Vol. 56 N° 11 (Novembre 2010) 

Public ISBD [article]  in Management science > Vol. 56 N° 11 (Novembre 2010) . - pp. 1997-2014 Titre : Optimal portfolio liquidation with distress risk Type de document : texte imprimé Auteurs : Brown, David B., Auteur ; Bruce Ian Carlin, Auteur ; Miguel Sousa Lobo, Auteur Année de publication : 2011 Article en page(s) : pp. 1997-2014 Note générale : Management Langues : Anglais (eng) Mots-clés : Portfolio  management  Optimal  liquidation  Price  impact Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : We analyze the problem of an investor who needs to unwind a portfolio in the face of recurring and uncertain liquidity needs, with a model that accounts for both permanent and temporary price impact of trading. We first show that a risk-neutral investor who myopically deleverages his position to meet an immediate need for cash always prefers to sell more liquid assets. If the investor faces the possibility of a downstream shock, however, the solution differs in several important ways. If the ensuing shock is sufficiently large, the nonmyopic investor unwinds positions more than immediately necessary and, all else being equal, prefers to retain more of the assets with low temporary price impact in order to hedge against possible distress. More generally, optimal liquidation involves selling strictly more of the assets with a lower ratio of permanent to temporary impact, even if these assets are relatively illiquid. The results suggest that properly accounting for the possibility of future shocks should play a role in managing large portfolios. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/cgi/content/abstract/56/11/1997 [article] Optimal portfolio liquidation with distress risk [texte imprimé] / Brown, David B., Auteur ; Bruce Ian Carlin, Auteur ; Miguel Sousa Lobo, Auteur . - 2011 . - pp. 1997-2014. Management Langues : Anglais (eng) in Management science > Vol. 56 N° 11 (Novembre 2010) . - pp. 1997-2014 Mots-clés : Portfolio  management  Optimal  liquidation  Price  impact Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : We analyze the problem of an investor who needs to unwind a portfolio in the face of recurring and uncertain liquidity needs, with a model that accounts for both permanent and temporary price impact of trading. We first show that a risk-neutral investor who myopically deleverages his position to meet an immediate need for cash always prefers to sell more liquid assets. If the investor faces the possibility of a downstream shock, however, the solution differs in several important ways. If the ensuing shock is sufficiently large, the nonmyopic investor unwinds positions more than immediately necessary and, all else being equal, prefers to retain more of the assets with low temporary price impact in order to hedge against possible distress. More generally, optimal liquidation involves selling strictly more of the assets with a lower ratio of permanent to temporary impact, even if these assets are relatively illiquid. The results suggest that properly accounting for the possibility of future shocks should play a role in managing large portfolios. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/cgi/content/abstract/56/11/1997