Related papers: Optimal Equity Glidepaths in Retirement
We present an optimal strategy having finite outcomes for estimating a single parameter of the displacement operator on an arbitrary finite dimensional system using a finite number of identical samples. Assuming the uniform {\it a priori}…
In this paper, we develop an expected utility model for the retirement behavior in the decumulation phase of Australian retirees with sequential family status subject to consumption, housing, investment, bequest and government provided…
Performing highly agile dynamic motions, such as jumping or running on uneven stepping stones has remained a challenging problem in legged robot locomotion. This paper presents a framework that combines trajectory optimization and model…
Most studies in multiparameter estimation assume the dynamics is fixed and focus on identifying the optimal probe state and the optimal measurements. In practice, however, controls are usually available to alter the dynamics, which provides…
In this paper we analyse a dynamic model of investment under uncertainty in a duopoly, in which each firm has an option to switch from the present market to a new market. We construct a subgame perfect equilibrium in mixed strategies and…
Gyration radius of individual's trajectory plays a key role in quantifying human mobility patterns. Of particular interests, empirical analyses suggest that the growth of gyration radius is slow versus time except the very early stage and…
In the theory of dynamic programming, an optimal policy is a policy whose lifetime value dominates that of all other policies from every possible initial condition in the state space. This raises a natural question: when does optimality…
Static stability in economic models means negative incentives for deviation from equilibrium strategies, which we expect to assure a return to equilibrium, i.e., dynamic stability, as long as agents respond to incentives. There have been…
We study a robust portfolio optimization problem under model uncertainty for an investor with logarithmic or power utility. The uncertainty is specified by a set of possible L\'evy triplets; that is, possible instantaneous drift, volatility…
Existing drift detection methods focus on designing sensitive test statistics. They treat the detection threshold as a fixed hyperparameter, set once to balance false alarms and late detections, and applied uniformly across all datasets and…
The comparative statics of the optimal portfolios across individuals is carried out for a continuous-time complete market model, where the risky assets price process follows a joint geometric Brownian motion with time-dependent and…
This paper presents an optimization-based receding horizon trajectory planning algorithm for dynamical systems operating in unstructured and cluttered environments. The proposed approach is a two-step procedure that uses a motion planning…
We study the problem of active portfolio management where an investor aims to outperform a benchmark strategy's risk profile while not deviating too far from it. Specifically, an investor considers alternative strategies whose terminal…
The stability analysis of model predictive control schemes without terminal constraints and/or costs has attracted considerable attention during the last years. We pursue a recently proposed approach which can be used to determine a…
The steady-state turnover of a trading strategy is of clear interest to practitioners and portfolio managers, as is the steady-state Sharpe ratio. In this article, we show that in a convenient Gaussian process model, the steady-state…
We consider an insurance company modelling its surplus process by a Brownian motion with drift. Our target is to maximise the expected exponential utility of discounted dividend payments, given that the dividend rates are bounded by some…
Trajectory optimization and model predictive control are essential techniques underpinning advanced robotic applications, ranging from autonomous driving to full-body humanoid control. State-of-the-art algorithms have focused on data-driven…
Based on a point of view that solvency and security are first, this paper considers regular-singular stochastic optimal control problem of a large insurance company facing positive transaction cost asked by reinsurer under solvency…
This paper studies an optimal investment and consumption problem with heterogeneous consumption of basic and luxury goods, together with the choice of time for retirement. The utility for luxury goods is not necessarily a concave function.…
Owing to their inherently interpretable structure, decision trees are commonly used in applications where interpretability is essential. Recent work has focused on improving various aspects of decision trees, including their predictive…