Related papers: On Admissible Strategies in Robust Utility Maximiz…
In problems involving the allocation of a single non-disposable commodity, we study rules defined on a general domain of preferences requiring only that each preference exhibit a unique global maximum. Our focus is on rules that satisfy a…
The greedy algorithm for monotone submodular function maximization subject to cardinality constraint is guaranteed to approximate the optimal solution to within a $1-1/e$ factor. Although it is well known that this guarantee is essentially…
We consider an insurance company modelling its surplus process by a Brownian motion with drift. Our target is to maximise the expected exponential utility of discounted dividend payments, given that the dividend rates are bounded by some…
This article studies the sensitivity of the power utility maximization problem with respect to the investor's relative risk aversion, the statistical probability measure, the investment constraints and the market price of risk. We extend…
We introduce a linear space of finitely additive measures to treat the problem of optimal expected utility from consumption under a stochastic clock and an unbounded random endowment process. In this way we establish existence and…
We study the worst-case adaptive optimization problem with budget constraint that is useful for modeling various practical applications in artificial intelligence and machine learning. We investigate the near-optimality of greedy algorithms…
The last decade witnessed an explosion in the availability of data for operations research applications. Motivated by this growing availability, we propose a novel schema for utilizing data to design uncertainty sets for robust optimization…
In this paper, we investigate the robust optimal reinsurance,investment,and internal surplus distribution (i.e., consumption) problem for an insurer with Epstein-Zin recursive preferences in an incomplete market. It is assumed that the…
We consider the problem of optimal investment with random endowment in a Black--Scholes market for an agent with constant relative risk aversion. Using duality arguments, we derive an explicit expression for the optimal trading strategy,…
We address the problem of computing reliable policies in reinforcement learning problems with limited data. In particular, we compute policies that achieve good returns with high confidence when deployed. This objective, known as the…
We study a class of procurement auctions with a budget constraint, where an auctioneer is interested in buying resources or services from a set of agents. Ideally, the auctioneer would like to select a subset of the resources so as to…
This work studies the design of safe control policies for large-scale non-linear systems operating in uncertain environments. In such a case, the robust control framework is a principled approach to safety that aims to maximize the…
We consider a game-theoretic model of a market where investors compete for payoffs yielded by several assets. The main result consists in a proof of the existence and uniqueness of a strategy, called relative growth optimal, such that the…
The paper addresses the problem of optimization of a guaranteed (worst case) result for a control system driven by a controlling side in presence of a dynamical disturbance. The disturbances as functions of time are subject to functional…
We consider the problem of maximising expected utility from terminal wealth in a semimartingale setting, where the semimartingale is written as a sum of a time-changed Brownian motion and a finite variation process. To solve this problem,…
We consider an online version of the well-studied network utility maximization problem, where users arrive one by one and an operator makes irrevocable decisions for each user without knowing the details of future arrivals. We propose a…
Two-player, turn-based, stochastic games with reachability conditions are considered, where the maximizer has no information (he is blind) and is restricted to deterministic strategies whereas the minimizer is perfectly informed. We ask the…
Many policy problems involve designing individualized treatment allocation rules to maximize the equilibrium social welfare of interacting agents. Focusing on large-scale simultaneous decision games with strategic complementarities, we…
We study a robust utility maximization problem in the unbounded case with a general penalty term and information including jumps. We focus on time consistent penalties and we prove that there exists an optimal probability measure solution…
An algorithm capable of finding a likely global optimum (minimum) and a set of sub-optimal points for arbitrary generic functions of several variables is presented. The algorithm is designed to deal even with functions of complex behavior,…