Related papers: Simple Explicit Formula for Near-Optimal Stochasti…
This paper studies the equilibrium of an extended case of the classical Samuelson's multiplier-accelerator model for national economy. This case has incorporated some kind of memory into the system. We assume that total consumption and…
In this paper, we consider the portfolio optimization problem in a financial market where the underlying stochastic volatility model is driven by n-dimensional Brownian motions. At first, we derive a Hamilton-Jacobi-Bellman equation…
Evolution is the process of optimal adaptation of biological populations to their living environments. This is expressed via the concept of fitness, defined as relative reproductive success. However, it has been pointed out that this…
This paper addresses the problem of determining the optimal time for an individual to convert retirement savings into a lifetime annuity. The individual invests their wealth into a dividend-paying fund that follows the dynamics of a…
We provide a detailed characterization of the optimal consumption stream for the additive habit-forming utility maximization problem, in a framework of general discrete-time incomplete markets and random endowments. This characterization…
We investigate a continuous-time investment-consumption problem with model uncertainty in a general diffusion-based market with random model coefficients. We assume that a power utility investor is ambiguity-averse, with the preference to…
We apply stochastic Perron's method to a singular control problem where an individual targets at a given consumption rate, invests in a risky financial market in which trading is subject to proportional transaction costs, and seeks to…
We introduce and discuss optimal control strategies for kinetic models for wealth distribution in a simple market economy, acting to minimize the variance of the wealth density among the population. Our analysis is based on a finite time…
We consider a dynamic portfolio optimization problem that incorporates predictable returns, instantaneous transaction costs, price impact, and stochastic volatility, extending the classical results of Garleanu and Pedersen (2013), which…
We consider an investor, whose portfolio consists of a single risky asset and a risk free asset, who wants to maximize his expected utility of the portfolio subject to managing the Value at Risk (VaR) assuming a heavy tailed distribution of…
We explore the statistical and economic importance of restrictions on the dynamics of risk compensation from the perspective of a real-time Bayesian learner who predicts bond excess returns using dynamic term structure models (DTSMs). The…
The aim of the paper is to establish a convergence theorem for multi-dimensional stochastic approximation when the "innovations" satisfy some "light" averaging properties in the presence of a pathwise Lyapunov function. These averaging…
In the paper there is studied an optimal saving model in which the interest-rate risk for saving is a fuzzy number. The total utility of consumption is defined by using a concept of possibilistic expected utility. A notion of possibilistic…
This paper studies a one-sector optimal growth model with i.i.d. productivity shocks that are allowed to be unbounded. The utility function is assumed to be non-negative and unbounded from above. The novel feature in our framework is that…
Within the model of social dynamics determined by collective decisions in a stochastic environment (ViSE model), we consider the case of a homogeneous society consisting of classically rational economic agents (or homines economici, or…
Should households buy their homes? Contrary to popular expert advice, our block-bootstrap lifecycle simulation provides an affirmative answer. Homeownership generates wealth and welfare gains relative to rent-for-life benchmarks that invest…
This paper introduces a novel stochastic control framework to enhance the capabilities of automated investment managers, or robo-advisors, by accurately inferring clients' investment preferences from past activities. Our approach leverages…
In this paper, we present a generalization of the certainty equivalence principle of stochastic control. One interpretation of the classical certainty equivalence principle for linear systems with output feedback and quadratic costs is as…
We present and discuss a stochastic model of financial assets dynamics based on the idea of an inverse renormalization group strategy. With this strategy we construct the multivariate distributions of elementary returns based on the scaling…
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…