TE-05: Optimal Control and Optimization in Economics, Finance and Management II
Stream: Optimal Control and Optimization in Economics, Finance and Management
Room: Pontryagin
Chair(s): Gerhard-Wilhelm Weber

Risk measure and portfolio selection
BEN HSSAIN LHOUCINE, Ghizlane Lakhnati
This paper deals with risk measurement and portfolio optimization under risk constraints. Firstly, we give an overview of Extended Gini shortfall (EGS), a special type of Spectral Measures of Risk that extends the Gini-type measures of risk and variability. We subsequently considering the portfolio problems based on Extended Gini shortfall and gets some useful results.

Investigating the reliability of the RBF method for solving some optimal control problems in Dynamic Investment
Ahmad Saeedi, Ahamd golbabai
In this paper we have developed a MATLAB code based on Radial Basis Function (RBFs) for solving optimal control problems arising in Dynamic Economic Models. Some operational matrices has been produced which helps to reduce the computational cost. The proposed method has good accuracy but it suffers from ill-conditioning. In order to produce more reliable solutions, the effective condition number and some strategies including BiCGSTAB and GMRES iterative solution methods have been used.

Market making policy for high-frequency trading
Francis Huot-Chantal, Fabian Bastin, Gabriel Yergeau
We describe a quoting policy for market making based on inventory models optimization, leading to a threshold policy, in the context of high-frequency trading. In our model, the market maker aims to maximize his profit while providing liquidity to the stock market and keeping the risk at a reasonable level. We assess the policy performance in terms of profitability and robustness using backtesting and agent-based simulation. Various simulation frameworks are considered, using policies based on time intervals or discrete events, and a zero-intelligence policy as a baseline.