Related papers: On the Stability of Utility Maximization Problems
In this paper, we investigate dynamic optimization problems featuring both stochastic control and optimal stopping in a finite time horizon. The paper aims to develop new methodologies, which are significantly different from those of mixed…
Benchmarks in the utility function have various interpretations, including performance guarantees and risk constraints in fund contracts and reference levels in cumulative prospect theory. In most literature, benchmarks are a deterministic…
This paper draws on diverse areas of computer science to develop a unified view of computation: (1) Optimization in operations research, where a numerical objective function is maximized under constraints, is generalized from the numerical…
We consider the terminal wealth utility maximization problem from the point of view of a portfolio manager who is paid by an incentive scheme, which is given as a convex function $g$ of the terminal wealth. The manager's own utility…
This paper investigates risk measures derived from the expected maximum deficit in a continuous-time framework and develops optimal reserve allocation strategies across multiple lines of business. We formalize the expected maximum deficit…
This paper aims to provide various applications for second-order variational analysis of extended-real-valued piecewise liner functions recently obtained in [1]. We mainly focus here on establishing relationships between full stability of…
We consider an arbitrage-free, discrete time and frictionless market. We prove that an investor maximising the expected utility of her terminal wealth can always find an optimal investment strategy provided that her dissatisfaction of…
This paper considers an optimal impulse control problem of dynamical systems generated by a flow. The performance criteria are total costs over the infinite time horizon. Apart from the main performance to be minimized, there are multiple…
This paper studies the problem of maximizing expected utility from terminal wealth combining a static position in derivative securities, which we assume can be traded only at time zero, with a traditional dynamic trading strategy in stocks.…
We consider the Hospitals/Residents (HR) problem in the presence of ties in hospital preferences. Among the three notions of stability, namely weak stability, strong stability, and super-stability, we focus on the notion of strong…
A general condition determining the optimal performance of a complex system has not yet been found and the possibility of its existence is unknown. To contribute in this direction, an optimization algorithm as a complex system is presented.…
In this paper, we consider a financial market with assets exposed to some risks inducing jumps in the asset prices, and which can still be traded after default times. We use a default-intensity modeling approach, and address in this…
In this paper, we consider the gradual-impulse control problem of continuous-time Markov decision processes, where the system performance is measured by the expectation of the exponential utility of the total cost. We prove, under very…
This paper investigates an optimal consumption-investment problem featuring recursive utility via Tsallis relative entropy. We establish a fundamental connection between this optimization problem and a quadratic backward stochastic…
In the frictionless discrete time financial market of Bouchard et al.(2015) we consider a trader who, due to regulatory requirements or internal risk management reasons, is required to hedge a claim $\xi$ in a risk-conservative way relative…
We study performance limits of solutions to utility maximization problems (e.g., max-min problems) in wireless networks as a function of the power budget $\bar{p}$ available to transmitters. Special focus is devoted to the utility and the…
This paper addresses the problem of utility maximization under uncertain parameters. In contrast with the classical approach, where the parameters of the model evolve freely within a given range, we constrain them via a penalty function. We…
We introduce a unified framework for the study of the utility and the energy efficiency of solutions to a large class of weighted max-min utility maximization problems in interference-coupled wireless networks. In more detail, given a…
In this paper, we study a maximization and a minimization problem associated with a Poisson boundary value problem. Optimal solutions in a set of rearrangements of a given function define stationary and stable flows of an ideal fluid in two…
To study the assumption that the utility maximization hypothesis implicitly adds to consumer theory, we consider a mathematical representation of pre-marginal revolution consumer theory based on subjective exchange ratios. We introduce two…