Related papers: Utility maximization via decoupling fields
In this paper, we study the well-posedness of the Forward-Backward Stochastic Differential Equations (FBSDE) in a general non-Markovian framework. The main purpose is to find a unified scheme which combines all existing methodology in the…
We study a network utility maximization (NUM) decomposition in which the set of flow rates is grouped by source-destination pairs. We develop theorems for both single-path and multipath cases, which relate an arbitrary NUM problem involving…
We consider the economic problem of optimal consumption and investment with power utility. We study the optimal strategy as the relative risk aversion tends to infinity or to one. The convergence of the optimal consumption is obtained for…
This paper is concerned with linear quadratic optimal control problems for mean-field backward stochastic differential equations (MF-BSDEs, for short) with deterministic coefficients. The optimality system, which is a linear mean-field…
We study a general scalarization approach via utility functions in multi-objective optimization. It consists of maximizing utility which is obtained from the objectives' bargaining with regard to a disagreement reference point. The…
We investigate optimal consumption and investment problems for a Black-Scholes market under uniform restrictions on Value-at-Risk and Expected Shortfall. We formulate various utility maximization problems, which can be solved explicitly. We…
This paper study a type of fully coupled mean-field forward-backward stochastic differential equations with jumps under the monotonicity condition, including the existence and the uniqueness of the solution of our equation as well as the…
This paper considers the problem of maximizing multiple linear functions over the probability simplex. A classification of feasible points is indicated. A necessary and sufficient condition for a member of each class to be an efficient…
We consider an agent who has access to a financial market, including derivative contracts, who looks to maximise her utility. Whilst the agent looks to maximise utility over one probability measure, or class of probability measures, she…
In this paper we study stochastic optimal control problems of fully coupled forward-backward stochastic differential equations (FBSDEs). The recursive cost functionals are defined by controlled fully coupled FBSDEs. We study two cases of…
Exact free energy minimization is a convex optimization problem that is usually approximated with stochastic sampling methods. Deterministic approximations have been less successful because many desirable properties have been difficult to…
In this paper we investigate a utility maximization problem with drift uncertainty in a multivariate continuous-time Black-Scholes type financial market which may be incomplete. We impose a constraint on the admissible strategies that…
We study an optimal consumption and investment problem in a possibly incomplete market with general, not necessarily convex, stochastic constraints. We give explicit solutions for investors with exponential, logarithmic and power utility.…
We study the dual formulation of the utility maximization problem in incomplete markets when the utility function is finitely valued on the whole real line. We extend the existing results in this literature in two directions. First, we…
In this paper we study a robust utility maximization problem in continuous time under model uncertainty. The model uncertainty is governed by a continuous semimartingale with uncertain local characteristics. Here, the differential…
This paper investigates the problem of maximizing expected terminal utility in a discrete-time financial market model with a finite horizon under non-dominated model uncertainty. We use a dynamic programming framework together with…
We consider the robust exponential utility maximization problem in discrete time: An investor maximizes the worst case expected exponential utility with respect to a family of nondominated probabilistic models of her endowment by…
Driven by green communications, energy efficiency (EE) has become a new important criterion for designing wireless communication systems. However, high EE often leads to low spectral efficiency (SE), which spurs the research on EE-SE…
Decentralized resource allocation is a key problem for large-scale autonomic (or self-managing) computing systems. Motivated by a data center scenario, we explore efficient techniques for resolving resource conflicts via cooperative…
The aim of this short note is to establish a limit theorem for the optimal trading strategies in the setup of the utility maximization problem with proportional transaction costs. This limit theorem resolves the open question from [4]. The…