Related papers: Entry-exit decisions with implementation delay und…
People often deviate from expected utility theory when making risky and intertemporal choices. While the effects of probabilistic risk and time delay have been extensively studied in isolation, their interplay and underlying theoretical…
This paper studies the risk-adjusted optimal timing to liquidate an option at the prevailing market price. In addition to maximizing the expected discounted return from option sale, we incorporate a path-dependent risk penalty based on…
We investigate the impact of capital gains taxes on optimal investment decisions in a quite simple model. Namely, we consider a risk neutral investor who owns one risky stock from which she assumes that it has a lower expected return than…
We study the optimal timing of derivative purchases in incomplete markets. In our model, an investor attempts to maximize the spread between her model price and the offered market price through optimally timing her purchase. Both the…
In a unified framework we study equilibrium in the presence of an insider having information on the signal of the firm value, which is naturally connected to the fundamental price of the firm related asset. The fundamental value itself is…
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…
As an example for the optimization of unstable flows, we present an economics-based method for deciding the optimal rates at which vehicles are allowed to enter a highway. It exploits the naturally occuring fluctuations of traffic flow and…
Creating a study program for optimal academic completion is a complex assignment. Especially programs in the science, technology, engineering, and mathematics field are known for extended completion time as well as high drop-out rates…
In this paper we consider stopping problems with partial observation under a general risk-sensitive optimization criterion for problems with finite and infinite time horizon. Our aim is to maximize the certainty equivalent of the stopping…
We study a single risky financial asset model subject to price impact and transaction cost over an finite time horizon. An investor needs to execute a long position in the asset affecting the price of the asset and possibly incurring in…
Mathematically, the execution of an American-style financial derivative is commonly reduced to solving an optimal stopping problem. Breaking the general assumption that the knowledge of the holder is restricted to the price history of the…
Through a straightforward Bayesian approach we show that under some general conditions a maximum running time, namely the number of discrete steps performed by a computer program during its execution, can be defined such that the…
In many scheduling applications, minimizing delays is of high importance. One adverse effect of such delays is that the reward for completion of a job may decay over time. Indeed in healthcare settings, delays in access to care can result…
We investigate the optimal pricing strategy in a service-providing framework, where customers can leave the system prior to service completion. In this setting, a price is quoted to an incoming customer based on the current number of…
The standard theory of optimal stopping is based on the idealised assumption that the underlying process is essentially known. In this paper, we drop this restriction and study data-driven optimal stopping for a general diffusion process,…
How do decisions change with the economic environment and with time? This paper studies general nonstationary stopping problems and provides the methodological tools to answer these questions. First, we identify conditions that ensure a…
Iterative numerical algorithms are typically equipped with a stopping criterion, where the iteration process is terminated when some error or misfit measure is deemed to be below a given tolerance. This is a useful setting for comparing…
The problem of detecting a single anomalous process among multiple independent processes is considered. Under a constraint on the number of processes that can be probed simultaneously, the decision maker should decide which processes to…
In this paper we investigate a new class of growth rate maximization problems based on impulse control strategies such that the average number of trades per time unit does not exceed a fixed level. Moreover, we include proportional…
For an infinite-horizon continuous-time optimal stopping problem under non-exponential discounting, we look for an optimal equilibrium, which generates larger values than any other equilibrium does on the entire state space. When the…