Related papers: Utility maximization for L{\'e}vy switching models
We consider an optimal investment-consumption problem for a utility-maximizing investor who has access to assets with different liquidity and whose consumption rate as well as terminal wealth are subject to lower-bound constraints. Assuming…
We consider the portfolio optimisation problem where the terminal function is an S-shaped utility applied at the difference between the wealth and a random benchmark process. We develop several numerical methods for solving the problem…
In this paper we present a duality theory for the robust utility maximisation problem in continuous time for utility functions defined on the positive real axis. Our results are inspired by -- and can be seen as the robust analogues of --…
We introduce a linear space of finitely additive measures to treat the problem of optimal expected utility from consumption under a stochastic clock and an unbounded random endowment process. In this way we establish existence and…
We propose a recursive algorithm for the numerical computation of the optimal value function $\inf_{t\le\tau\le T} E \Big[\sup_{0\le s\le T } Y_s / Y_{\tau} \big| {\cal F}_t\Big]$ over the stopping times $\tau$ with respect to the…
Based on Malliavin calculus tools and approximation results, we show how to compute a maximum likelihood type estimator for a rather general differential equation driven by a fractional Brownian motion with Hurst parameter H>1/2. Rates of…
We consider a Markov chain approximation scheme for utility maximization problems in continuous time, which uses, in turn, a piecewise constant policy approximation, Euler-Maruyama time stepping, and a Gauss-Hermite approximation of the…
This memoir presents a systematic study of the utility maximization problem of an investor in a constrained and unbounded financial market. Building upon the work of Hu et al. (2005) [Ann. Appl. Probab., 15, 1691--1712] in a bounded…
This paper solves a utility maximization problem under utility-based shortfall risk constraint, by proposing an approach using Lagrange multiplier and convex duality. Under mild conditions on the asymptotic elasticity of the utility…
The problem of robust utility maximization in an incomplete market with volatility uncertainty is considered, in the sense that the volatility of the market is only assumed to lie between two given bounds. The set of all possible models…
In continuous-time portfolio selection for non-concave utility functions, the martingale duality approach is widely adopted in complete markets, while the dynamic programming approach may sometimes lead to singular solutions of the…
This paper investigates the problem of maximizing expected terminal utility in a (generically incomplete) discrete-time financial market model with finite time horizon. In contrast to the standard setting, a possibly non-concave utility…
In this paper we study the problem of maximizing expected utility from the terminal wealth with proportional transaction costs and random endowment. In the context of the existence of consistent price systems, we consider the duality…
We consider the problem of utility maximization for small traders on incomplete financial markets. As opposed to most of the papers dealing with this subject, the investors' trading strategies we allow underly constraints described by…
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…
In this paper we present new theoretical results on optimal estimation of certain random quantities based on high frequency observations of a L\'evy process. More specifically, we investigate the asymptotic theory for the conditional mean…
To address ultimate precision in density-functional-theory calculations we employ the full-potential linearized augmented planewave + local-orbital (LAPW+lo) method and justify its usage as a benchmark method. LAPW+lo and two completely…
We study utility maximization for power utility random fields with and without intermediate consumption in a general semimartingale model with closed portfolio constraints. We show that any optimal strategy leads to a solution of the…
Bayesian experimental design involves the optimal allocation of resources in an experiment, with the aim of optimising cost and performance. For implicit models, where the likelihood is intractable but sampling from the model is possible,…
We obtain explicit representations of locally risk-minimizing strategies of call and put options for the Barndorff-Nielsen and Shephard models, which are Ornstein--Uhlenbeck-type stochastic volatility models. Using Malliavin calculus for…