Related papers: Exponential utility with non-negative consumption
In this paper, we consider scaling limits of exponential utility indifference prices for European contingent claims in the Bachelier model. We show that the scaling limit can be represented in terms of the \emph{specific relative entropy},…
A proof of the relativistic $H$-theorem by including nonextensive effects is given. As it happens in the nonrelativistic limit, the molecular chaos hypothesis advanced by Boltzmann does not remain valid, and the second law of thermodynamics…
McFadden's random-utility model of multinomial choice has long been the workhorse of applied research. We establish shape-restrictions under which multinomial choice-probability functions can be rationalized via random-utility models with…
The sum-utility maximization problem is known to be important in the energy systems literature. The conventional assumption to address this problem is that the utility is concave. But for some key applications, such an assumption is not…
The incomplete nonextensive statistics in the canonical and microcanonical ensembles is explored in the general case and in a particular case for the ideal gas. By exact analytical results for the ideal gas it is shown that taking the…
We analyze the efficiency of markets with friction, particularly power markets. We model the market as a dynamic system with $(d_t;\,t\geq 0)$ the demand process and $(s_t;\,t\geq 0)$ the supply process. Using stochastic differential…
We study a pure-exchange incomplete-market economy with heterogeneous agents. In each period, the agents choose how much to save (i.e., invest in a risk-free bond), how much to consume, and which bundle of goods to consume while their…
We study an optimization problem for a portfolio with a risk-free, a liquid, and an illiquid risky asset. The illiquid risky asset is sold in an exogenous random moment with a prescribed liquidation time distribution. The investor prefers a…
In this paper, we study decentralized decision-making where agents optimize private objectives under incomplete information and imperfect public monitoring, in a non-cooperative setting. By shaping utilities-embedding shadow prices or…
We study the optimal investment problem for a continuous time incomplete market model such that the risk-free rate, the appreciation rates and the volatility of the stocks are all random; they are assumed to be independent from the driving…
In this work we introduce a new plateau-like inflationary model including a quadratic scalar potential coupled non-minimally to gravity. This potential has a dominant constant energy density at early times which can realize successful…
Alternative approach for description of the non-equilibrium phenomena arising in solids at a severe external loading is analyzed. The approach is based on the new form of kinetic equations in terms of the internal and modified free energy.…
We develop a duality theory for the problem of maximising expected lifetime utility from inter-temporal wealth over an infinite horizon, under the minimal no-arbitrage assumption of No Unbounded Profit with Bounded Risk (NUPBR). We use only…
A unified approach to quintessence and inflation is investigated with the use of a single scalar field. It is argued that successful potentials have to approximate a combination of exponential and inverse power-law decline in the limit of…
A detailed analysis of the remainder obtained by truncating the Euler series up to the $n$th-order term is presented. In particular, by using an approach recently proposed by Weniger, asymptotic expansions of the remainder, both in inverse…
In this work, we investigate the amount of energy that can be extracted or charged through unitary operations when only minimal information about the state is known. Assuming knowledge of only the mean energy of the state, we start by…
This paper investigates well posedness of utility maximization problems for financial markets where stock returns depend on a hidden Gaussian mean reverting drift process. Since that process is potentially unbounded, well posedness cannot…
In this paper, we focus on the problem of optimal portfolio-consumption policies in a multi-asset financial market, where the n risky assets follow Exponential Ornstein-Uhlenbeck processes, along with one risk-free bond. The investor's…
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…
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…