Related papers: Calculating optimal limits for transacting credit …
This paper explores an idea of demand-supply balance for smart grids in which consumers are expected to play a significant role. The main objective is to motivate the consumer, by maximizing their benefit both as a seller and a buyer, to…
As financial institutions increasingly rely on machine learning models to automate lending decisions, concerns about algorithmic fairness have risen. This paper explores the tradeoff between enforcing fairness constraints (such as…
We consider a discrete-time financial market model with finite time horizon and give conditions which guarantee the existence of an optimal strategy for the problem of maximizing expected terminal utility. Equivalent martingale measures are…
We investigate upper bounds on the length of cost optimal plans that are valid for problems with 0-cost actions. We employ these upper bounds as horizons for a SAT-based encoding of planning with costs. Given an initial upper bound on the…
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 revisit optimal execution of an active portfolio in the presence of slippage (aka linear, proportional, or absolute-value) costs. Market efficiency implies a close balance between active alphas and trading costs, so even small changes to…
We consider a seller faced with buyers which have the ability to delay their decision, which we call patience. Each buyer's type is composed of value and patience, and it is sampled i.i.d. from a distribution. The seller, using posted…
We consider an investor who wants to select her/his optimal consumption, investment and insurance policies. Motivated by new insurance products, we allow not only the financial marke but also the insurable loss to depend on the regime of…
Trailing stop is a popular stop-loss trading strategy by which the investor will sell the asset once its price experiences a pre-specified percentage drawdown. In this paper, we study the problem of timing buy and then sell an asset subject…
A hypothetical risk-neutral agent who trades to maximize the expected profit of the next trade will approximately exhibit long-term optimal behavior as long as this agent uses the vector $p = \nabla V (t, x)$ as effective microstructure…
This work is concerned with the exponential turnpike property for optimal control problems of particle systems and their mean-field limit. Under the assumption of the strict dissipativity of the cost function, exponential estimates for both…
Influence maximization is the problem of finding a set of influential users in a social network such that the expected spread of influence under a certain propagation model is maximized. Much of the previous work has neglected the important…
We study the problem of utility maximization from terminal wealth in which an agent optimally builds her portfolio by investing in a bond and a risky asset. The asset price dynamics follow a diffusion process with regime-switching…
We consider a monopolist seller with $n$ heterogeneous items, facing a single buyer. The buyer has a value for each item drawn independently according to (non-identical) distributions, and her value for a set of items is additive. The…
We deal with the optimal execution problem when the broker's goal is to reach a performance barrier avoiding a downside barrier. The performance is provided by the wealth accumulated by trading in the market, the shares detained by the…
A system of renewal equations on a graph provides a framework to describe the exploitation of a biological resource. In this context, we formulate an optimal control problem, prove the existence of an optimal control and ensure that the…
Buying and selling of data online has increased substantially over the last few years. Several frameworks have already been proposed that study query pricing in theory and practice. The key guiding principle in these works is the notion of…
This paper shows that the optimal policy and value functions of a Markov Decision Process (MDP), either discounted or not, can be captured by a finite-horizon undiscounted Optimal Control Problem (OCP), even if based on an inexact model.…
We study how to optimally segment monopolistic markets with a redistributive objective. We characterize optimal redistributive segmentations and show that they (i) induce the seller to price progressively, i.e., charge richer consumers…
We calculate the optimal solutions of the fully heterogeneous Von Neumann expansion problem with $N$ processes and $P$ goods in the limit $N\to\infty$. This model provides an elementary description of the growth of a production economy in…