Related papers: Power Utility Maximization in Discrete-Time and Co…
This paper provides a discrete time LIBOR analog, which can be used for arbitrage-free discretization of Levy LIBOR models or discrete approximation of continuous time LIBOR market models. Using the work of Eberlein and Oezkan as an…
This paper presents an optimal strategy for portfolio liquidation under discrete time conditions. We assume that N risky assets held will be liquidated according to the same time interval and order quantity, and the basic price processes of…
In this article, we study optimal investment and consumption in an incomplete stochastic factor model for a power utility investor on the infinite horizon. When the state space of the stochastic factor is finite, we give a complete…
Discretizing continuous-time linear systems typically requires numerical integration. This document presents a convenient method for discretizing the dynamics, input, and process noise state-space matrices of a continuous-time linear system…
In this paper, we consider a continuous-time Markov decision process (CTMDP) in Borel spaces, where the certainty equivalent with respect to the exponential utility of the total undiscounted cost is to be minimized. The cost rate is…
In this paper we study utility maximization with proportional transaction costs. Assuming extended weak convergence of the underlying processes we prove the convergence of the corresponding utility maximization problems. Moreover, we…
This paper introduces a novel stochastic control framework to enhance the capabilities of automated investment managers, or robo-advisors, by accurately inferring clients' investment preferences from past activities. Our approach leverages…
The comparative statics of the optimal portfolios across individuals is carried out for a continuous-time complete market model, where the risky assets price process follows a joint geometric Brownian motion with time-dependent and…
This paper studies the utility maximization on the terminal wealth with random endowments and proportional transaction costs. To deal with unbounded random payoffs from some illiquid claims, we propose to work with the acceptable portfolios…
In this paper we derive the exact solution of the multi-period portfolio choice problem for an exponential utility function under return predictability. It is assumed that the asset returns depend on predictable variables and that the joint…
We present a unified method, based on convex optimization, for managing the power produced and consumed by a network of devices over time. We start with the simple setting of optimizing power flows in a static network, and then proceed to…
As a main step in the numerical solution of control problems in continuous time, the controlled process is approximated by sequences of controlled Markov chains, thus discretising time and space. A new feature in this context is to allow…
Continuous-time optimization models have successfully been used to capture the impact of ramping limitations in power systems. In this paper, the continuous-time framework is adapted to model flexible hydropower resources interacting with…
We propose new continuous-time formulations for first-order stochastic optimization algorithms such as mini-batch gradient descent and variance-reduced methods. We exploit these continuous-time models, together with simple Lyapunov analysis…
Management of a portfolio that includes an illiquid asset is an important problem of modern mathematical finance. One of the ways to model illiquidity among others is to build an optimization problem and assume that one of the assets in a…
We study a stochastic control approach to managed futures portfolios. Building on the Schwartz 97 stochastic convenience yield model for commodity prices, we formulate a utility maximization problem for dynamically trading a single-maturity…
In this paper we study a utility maximization problem with random horizon and reduce it to the analysis of a specific BSDE, which we call BSDE with singular coefficients, when the support of the default time is assumed to be bounded. We…
We consider an optimal control problem arising in the context of economic theory of growth, on the lines of the works by Skiba (1978) and Askenazy - Le Van (1999). The economic framework of the model is intertemporal infinite horizon…
The paper studies problem of continuous time optimal portfolio selection for a incom- plete market diffusion model. It is shown that, under some mild conditions, near optimal strategies for investors with different performance criteria can…
We consider a multi-class single server queueing network as a model of a packet switching network. The rates packets are sent into this network are controlled by queues which act as congestion windows. By considering a sequence of…