Related papers: Smooth Value Function with Applications in Wealth-…

Optimal control problems with a very large time horizon can be tackled with the Receding Horizon Control (RHC) method, which consists in solving a sequence of optimal control problems with small prediction horizon. The main result of this…

We develop the idea of using Monte Carlo sampling of random portfolios to solve portfolio investment problems. In this first paper we explore the need for more general optimization tools, and consider the means by which constrained random…

We consider the portfolio optimisation problem where the terminal function is an S-shaped utility applied at the difference between the wealth and a random benchmark process. We develop several numerical methods for solving the problem…

This paper studies mean-risk portfolio optimization models using the conditional value-at-risk (CVaR) as a risk measure. We also employ a cardinality constraint for limiting the number of invested assets. Solving such a…

This paper concerns the numerical solution of a fully nonlinear parabolic double obstacle problem arising from a finite portfolio selection with proportional transaction costs. We consider the optimal allocation of wealth among multiple…

In optimal control problems defined on stratified domains, the dynamics and the running cost may have discontinuities on a finite union of submanifolds of RN. In [8, 5], the corresponding value function is characterized as the unique…

We study optimal portfolio choice under Epstein-Zin recursive utility in the presence of general leverage constraints. We first establish that the optimal value function is the unique viscosity solution to the associated…

The problem of portfolio allocation in the context of stocks evolving in random environments, that is with volatility and returns depending on random factors, has attracted a lot of attention. The problem of maximizing a power utility at a…

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…

We consider a semilinear equation linked to the finite horizon consumption - investment problem under the stochastic factor framework and we prove it admits a classical solution and provide all obligatory estimates to successfully apply a…

This paper studies the infinite-horizon optimal consumption with a path-dependent reference under exponential utility. The performance is measured by the difference between the nonnegative consumption rate and a fraction of the historical…

We consider continuous-time mean-variance portfolio selection with bankruptcy prohibition under convex cone portfolio constraints. This is a long-standing and difficult problem not only because of its theoretical significance, but also for…

We consider optimal allocation problems with Conditional Value-At-Risk (CVaR) constraint. We prove, under very mild assumptions, the convergence of the Sample Average Approximation method (SAA) applied to this problem, and we also exhibit a…

This paper extends the classical consumption and portfolio rules model in continuous time (Merton 1969, 1971) to the framework of decision-makers with time-inconsistent preferences. The model is solved for different utility functions for…

We study a n-player and mean-field portfolio optimization problem under relative performance concerns with non-zero volatility, for wealth and consumption. The consistency assumption defining forward relative performance processes leads to…

We study the stochastic control problem of maximizing expected utility from terminal wealth under a non-bankruptcy constraint. The wealth process is subject to shocks produced by a general marked point process. The problem of the agent is…

We establish the turnpike property for linear quadratic control problems for which the control operator is admissible and may be unbounded, under quite general and natural assumptions. The turnpike property has been well studied for bounded…

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…

We consider a discounted reward control problem in continuous time stochastic environment where the discount rate might be an unbounded function of the control process. We provide a set of general assumptions to ensure that there exists a…

In this paper, we study an optimal dividend and capital-injection problem in a Cram\'er--Lundberg model where claim arrivals follow a Hawkes process, capturing clustering effects often observed in insurance portfolios. We establish key…