Performance-sharing optimization by risk-constrained equity investors
Sign Up to like & getrecommendations! Published in 2020 at "Finance Research Letters"
DOI: 10.1016/j.frl.2020.101527
Abstract: Abstract An investment project may be capital constrained when its risk exceeds the risk limit of prospective investors. We propose a new equity-contract in which the project’s performance-sharing across investors respects the individual investor’s risk… read more here.
Keywords: risk; constrained equity; risk constrained; performance ... See more keywords
Risk-Constrained LQR Design Framework for Non-Gaussian Interconnected Systems Defined Over a Digraph
Sign Up to like & getrecommendations! Published in 2025 at "IEEE Transactions on Automatic Control"
DOI: 10.1109/tac.2024.3523508
Abstract: This article studies the risk-constrained linear–quadratic regulation (Rc-LQR) for a class of interconnected systems (ISs) with non-Gaussian noise. The IS is of a weakly connected topology. The standard linear–quadratic regulation (LQR) controller is optimal in… read more here.
Keywords: risk constrained; lqr; non gaussian; topology ... See more keywords