Author

José H. Blanchet

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Preprint Oct 2026

Regret-Optimal Linear-Quadratic Control under Distributional Drift

We study finite-horizon LQR with independent disturbances whose laws may drift over time. We address uncertainty in this evolution through ex-ante distributionally robust regret optimization (DRRO), which minimizes worst-case excess expected cost relative to the optimal causal controller that knows the law sequence. To...

Lukas-Benedikt Fiechtner, José H. Blanchet · 0 citations

Preprint Sep 2026

Strategic Index Reconstitution: Differential Games, Closed-Loop Equilibria and Mean-Field Dynamics

We study strategic trading around index reconstitution in a continuous-time, multiasset game with transient cross-asset price impact and heterogeneous beliefs about future index membership. Opportunistic traders position before a public announcement, adjust to the revealed composition, and trade around an indexer follo...

Lukas-Benedikt Fiechtner, José H. Blanchet · 0 citations