Related papers: Sensitivity analysis for expected utility maximiza…
Weak-value amplification employs postselection to enhance the measurement of small parameters of interest. The amplification comes at the expense of reduced success probability, hindering the utility of this technique as a tool for…
Weak submodularity is a natural relaxation of the diminishing return property, which is equivalent to submodularity. Weak submodularity has been used to show that many (monotone) functions that arise in practice can be efficiently maximized…
Causal inference necessarily relies upon untestable assumptions; hence, it is crucial to assess the robustness of obtained results to violations of identification assumptions. However, such sensitivity analysis is only occasionally…
We provide an asymptotic expansion of the value function of a multidimensional utility maximization problem from consumption with small non-linear price impact. In our model cross-impacts between assets are allowed. In the limit for small…
In this article, we study optimal investment and consumption in an incomplete stochastic factor model for a power utility investor on the infinite horizon. When the state space of the stochastic factor is finite, we give a complete…
One of the fundamental challenges in drawing causal inferences from observational studies is that the assumption of no unmeasured confounding is not testable from observed data. Therefore, assessing sensitivity to this assumption's…
Many practical optimization problems involve uncertain parameters that are strictly positive. However, the most common uncertainty sets used in robust optimization are the box and the ellipsoidal sets, which may include non-positive values…
A celebrated financial application of convex duality theory gives an explicit relation between the following two quantities: (i) The optimal terminal wealth $X^*(T) : = X_{\varphi^*}(T)$ of the problem to maximize the expected $U$-utility…
The main objective of this paper is to develop a martingale-type solution to optimal consumption--investment choice problems ([Merton, 1969] and [Merton, 1971]) under time-varying incomplete preferences driven by externalities such as…
Consider sensitivity analysis to assess the worst-case possible values of counterfactual outcome means and average treatment effects under sequential unmeasured confounding in a longitudinal study with time-varying treatments and…
We treat utility maximization from terminal wealth for an agent with utility function $U:\mathbb{R}\to\mathbb{R}$ who dynamically invests in a continuous-time financial market and receives a possibly unbounded random endowment. We prove the…
We consider a multi-stock continuous time incomplete market model with random coefficients. We study the investment problem in the class of strategies which do not use direct observations of the appreciation rates of the stocks, but rather…
We address the problem of modulating a parameter onto a power-limited signal, transmitted over a discrete-time Gaussian channel and estimating this parameter at the receiver. Continuing an earlier work, where the optimal trade-off between…
We consider the problem of estimating parameter sensitivity for Markovian models of reaction networks. Sensitivity values measure the responsiveness of an output to the model parameters. They help in analyzing the network, understanding its…
Forecasting accuracy is routinely optimised in financial prediction tasks even though investment and risk-management decisions are executed under transaction costs, market impact, capacity limits, and binding risk constraints. This paper…
Estimation and counterfactual analysis in dynamic structural models rely on assumptions about the dynamic process of latent variables, which may be misspecified. We propose a framework to quantify the sensitivity of scalar parameters of…
Probabilistic sensitivity analysis identifies the influential uncertain input to guide decision-making. We propose a general sensitivity framework with respect to the input distribution parameters that unifies a wide range of sensitivity…
In this paper we extend the stability results of [4]}. Our utility maximization problem is defined as an essential supremum of conditional expectations of the terminal values of wealth processes, conditioned on the filtration at the…
A continuous-time consumption-investment model with constraint is considered for a small investor whose decisions are the consumption rate and the allocation of wealth to a risk-free and a risky asset with logarithmic Brownian motion…
Merton portfolio management problem is studied in this paper within a stochastic volatility, non constant time discount rate, and power utility framework. This problem is time inconsistent and the way out of this predicament is to consider…