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Extracting from shared resources requires making choices to balance personal profit and sustainability. We present the results of a behavioural experiment wherein we manipulate the default extraction from a finite resource. Participants…
Agents that learn to select optimal actions represent a prominent focus of the sequential decision-making literature. In the face of a complex environment or constraints on time and resources, however, aiming to synthesize such an optimal…
We present a model of credit card profitability, assuming that the card-holder always pays the full outstanding balance. The motivation for the model is to calculate an optimal credit limit, which requires an expression for the expected…
The nexus between debt and inequality has attracted considerable scholarly attention in the wake of the global financial crisis. One prominent candidate to explain the striking co-evolution of income inequality and private debt in this…
Online allocation problems with resource constraints are central problems in revenue management and online advertising. In these problems, requests arrive sequentially during a finite horizon and, for each request, a decision maker needs to…
This paper examines the objective of optimally harvesting a single species in a stochastic environment. This problem has previously been analyzed in Alvarez (2000) using dynamic programming techniques and, due to the natural payoff…
Constrained decision-making is essential for designing safe policies in real-world control systems, yet simulated environments often fail to capture real-world adversities. We consider the problem of learning a policy that will maximize the…
We consider the problem of learning from revealed preferences in an online setting. In our framework, each period a consumer buys an optimal bundle of goods from a merchant according to her (linear) utility function and current prices,…
In this paper we deal with stochastic optimization problems where the data distributions change in response to the decision variables. Traditionally, the study of optimization problems with decision-dependent distributions has assumed…
We consider risk averse investors with different levels of anxiety about asset price drawdowns. The latter is defined as the distance of the current price away from its best performance since inception. These drawdowns can increase either…
In this paper, optimal consumption and investment decisions are studied for an investor who can invest in a fixed interest rate bank account and a stock whose price is a log normal diffusion. We present the method of the HJB equation in…
In this paper, we study a stochastic optimal control problem with stochastic volatility. We prove the sufficient and necessary maximum principle for the proposed problem. Then we apply the results to solve an investment, consumption and…
We study the policy testing problem in discounted Markov decision processes (MDPs) in the fixed-confidence setting under a generative model with static sampling. The goal is to decide whether the value of a given policy exceeds a specified…
We investigate activities that have different periods of duration. We define the profit intensity as a measure of this economic category. The profit intensity in a repeated trading has a unique property of attaining its maximum at a fixed…
We explore intertemporal preferences that are recursive and account for local intertemporal substitution. First, we establish a rigorous foundation for these preferences and analyze their properties. Next, we examine the associated optimal…
We provide an overview on how to use the measurable selection techniques to derive the dynamic programming principle for a general stochastic optimal control/stopping problem. By considering its martingale problem formulation on the…
We study how market segmentation affects consumers when a monopolist can adjust both prices and product qualities across segments, engaging in second- and third-degree price discrimination simultaneously. We characterize the…
We consider a stochastic optimal control problem in a market model with temporary and permanent price impact, which is related to an expected utility maximization problem under finite fuel constraint. We establish the initial condition…
Quadratic programming (QP) is a common and important constrained optimization problem. Here, we derive a surprising duality between constrained optimization with inequality constraints -- of which QP is a special case -- and consumer…
We consider the classic Kelly gambling problem with general distribution of outcomes, and an additional risk constraint that limits the probability of a drawdown of wealth to a given undesirable level. We develop a bound on the drawdown…