Related papers: Consumption and Portfolio Rules for Time-Inconsist…

We consider the problem of maximizing expected utility for a power investor who can allocate his wealth in a stock, a defaultable security, and a money market account. The dynamics of these security prices are governed by geometric Brownian…

This paper studies an optimal investment and consumption problem with heterogeneous consumption of basic and luxury goods, together with the choice of time for retirement. The utility for luxury goods is not necessarily a concave function.…

We investigate joint optimization on information acquisition and portfolio selection within a Bayesian adaptive framework. The investor dynamically controls the precision of a private signal and incurs costs while updating her belief about…

We consider an investor who wants to select her/his optimal consumption, investment and insurance policies. Motivated by new insurance products, we allow not only the financial marke but also the insurable loss to depend on the regime of…

This paper investigates a time-inconsistent portfolio selection problem in the incomplete mar ket model, integrating expected utility maximization with risk control. The objective functional balances the expected utility and variance on log…

In this article we solve the problem of maximizing the expected utility of future consumption and terminal wealth to determine the optimal pension or life-cycle fund strategy for a cohort of pension fund investors. The setup is strongly…

We consider a portfolio optimization problem in a defaultable market with finitely-many economical regimes, where the investor can dynamically allocate her wealth among a defaultable bond, a stock, and a money market account. The market…

We propose martingale consumption as a natural, desirable consumption pattern for any given (proportional) investment strategy. The idea is to always adjust current consumption so as to achieve level expected future consumption under the…

In a continuous time stochastic economy, this paper considers the problem of consumption and investment in a financial market in which the representative investor exhibits a change in the discount rate. The investment opportunities are a…

For a general entropy-regularized time-inconsistent stochastic control problem, we propose a policy iteration algorithm (PIA) and establish its convergence to an equilibrium policy with an exponential convergence rate. The design of the PIA…

We consider an illiquid financial market with different regimes modeled by a continuous-time finite-state Markov chain. The investor can trade a stock only at the discrete arrival times of a Cox process with intensity depending on the…

This paper studies the optimal dividend problem with a bounded payout rate in a partially observed regime-switching diffusion model, where, in practice, the market regime is unobserved and key model parameters are unknown. To address this…

We consider a time-consistent mean-variance portfolio selection problem of an insurer and allow for the incorporation of basis (mortality) risk. The optimal solution is identified with a Nash subgame perfect equilibrium. We characterize an…

We investigate the portfolio selection problem for an agent with rank-dependent utility in an incomplete financial market. For a constant-coefficient market and CRRA utilities, we characterize the deterministic strict equilibrium…

We develop a novel five-component decomposition of optimal dynamic portfolio choice, which reveals the simultaneous impacts from market incompleteness and wealth-dependent utilities. Under the HARA utility and a nonrandom interest rate, we…

This paper, which is the natural continuation of a previous paper by the same authors, studies a class of optimal control problems with state constraints where the state equation is a differential equation with delays. This class includes…

This paper studies the continuous-time reinforcement learning (RL) for optimal switching problems across multiple regimes. We consider a type of exploratory formulation under entropy regularization where the agent randomizes both the timing…

We study a class of optimal control problems with state constraints where the state equation is a differential equation with delays. This class includes some problems arising in economics, in particular the so-called models with time to…

In this paper, we consider the optimal portfolio liquidation problem under the dynamic mean-variance criterion and derive time-consistent solutions in three important models. We give adapted optimal strategies under a reconsidered…

We consider the classical multi-asset Merton investment problem under drift uncertainty, i.e. the asset price dynamics are given by geometric Brownian motions with constant but unknown drift coefficients. The investor assumes a prior drift…