Related papers: On Admissible Strategies in Robust Utility Maximiz…

We consider the problem of deciding on sampling strategy, in particular sampling design. We propose a risk measure, whose minimizing value guides the choice. The method makes use of a superpopulation model and takes into account uncertainty…

We study utility maximization for power utility random fields with and without intermediate consumption in a general semimartingale model with closed portfolio constraints. We show that any optimal strategy leads to a solution of the…

This paper focuses on managing the cost of deliberation before action. In many problems, the overall quality of the solution reflects costs incurred and resources consumed in deliberation as well as the cost and benefit of execution, when…

Synthesis of bulletproof strategies in imperfect information scenarios is a notoriously hard problem. In this paper, we suggest that it is sometimes a viable alternative to aim at "reasonably good" strategies instead. This makes sense not…

We consider the robust utility maximization using a static holding in derivatives and a dynamic holding in the stock. There is no fixed model for the price of the stock but we consider a set of probability measures (models) which are not…

In this paper we consider an optimal investment and reinsurance problem with partially unknown model parameters which are allowed to be learned. The model includes multiple business lines and dependence between them. The aim is to maximize…

In the large financial market, which is described by a model with countably many traded assets, we formulate the problem of the expected utility maximization. Assuming that the preferences of an economic agent are modeled with a stochastic…

The goal of a sequential decision making problem is to design an interactive policy that adaptively selects a group of items, each selection is based on the feedback from the past, in order to maximize the expected utility of selected…

This paper studies the robust optimal gain selection problem for financial trading systems, formulated within a \emph{double linear policy} framework, which allocates capital across long and short positions. The key objective is to…

We construct and study market models admitting optimal arbitrage. We say that a model admits optimal arbitrage if it is possible, in a zero-interest rate setting, starting with an initial wealth of 1 and using only positive portfolios, to…

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…

Affine policies (or control) are widely used as a solution approach in dynamic optimization where computing an optimal adjustable solution is usually intractable. While the worst case performance of affine policies can be significantly bad,…

In this paper, we study expected utility maximization under ratchet and drawdown constraints on consumption in a general incomplete semimartingale market using duality methods. The optimization is considered with respect to two parameters:…

Maximizing utility with a budget constraint is the primary goal for advertisers in real-time bidding (RTB) systems. The policy maximizing the utility is referred to as the optimal bidding strategy. Earlier works on optimal bidding strategy…

We study the utility maximization problem for power utility random fields in a semimartingale financial market, with and without intermediate consumption. The notion of an opportunity process is introduced as a reduced form of the value…

We study a robust portfolio optimization problem under model uncertainty for an investor with logarithmic or power utility. The uncertainty is specified by a set of possible L\'evy triplets; that is, possible instantaneous drift, volatility…

The greedy strategy is an approximation algorithm to solve optimization problems arising in decision making with multiple actions. How good is the greedy strategy compared to the optimal solution? In this survey, we mainly consider two…

We consider an optimal investment-consumption problem for a utility-maximizing investor who has access to assets with different liquidity and whose consumption rate as well as terminal wealth are subject to lower-bound constraints. Assuming…

An agent chooses an action based on her private information and a recommendation from an informed but potentially misaligned adviser. With a known probability, the adviser truthfully reports his signal; with the remaining probability, he…

The aim of this work consists in the study of the optimal investment strategy for a behavioural investor, whose preference towards risk is described by both a probability distortion and an S-shaped utility function. Within a continuous-time…