Related papers: Time-inconsistent consumption-investment problems …
Linear-quadratic optimal control problems are considered for mean-field stochastic differential equations with deterministic coefficients. Time-inconsistency feature of the problems is carefully investigated. Both open-loop and closed-loop…
Merton portfolio management problem is studied in this paper within a stochastic volatility, non constant time discount rate, and power utility framework. This problem is time inconsistent and the way out of this predicament is to consider…
In recent decades, new methods and approaches have been developed for forecasting intermittent demand series. However, the majority of research has focused on point forecasting, with little exploration into probabilistic intermittent demand…
The paper investigates the consumption-investment problem for an investor with Epstein-Zin utility in an incomplete market. Closed, not necessarily convex, constraints are imposed on strategies. The optimal consumption and investment…
Inspired by Strotz's consistent planning strategy, we formulate the infinite horizon mean-variance stopping problem as a subgame perfect Nash equilibrium in order to determine time consistent strategies with no regret. Equilibria among…
This paper studies a nonzero-sum Dynkin game in discrete time under non-exponential discounting. For both players, there are two levels of game-theoretic reasoning intertwined. First, each player looks for an intra-personal equilibrium…
We study a dynamic oligopoly with differentiated goods by differential game approach under general demand and cost functions. We show that the steady state value of the R&D investment by each firm is decreasing with respect to the number of…
This paper studies a central planner's decision making on behalf of a group of members with diverse discount rates. In the context of optimal stopping, we work with an aggregation preference to incorporate all discount rates via an attitude…
We obtain an exact necessary and sufficient condition for the existence and uniqueness of equilibrium asset prices in infinite horizon, discrete-time, arbitrage free environments. Through several applications we show how the condition…
We introduce the concept of forward rank-dependent performance processes, extending the original notion to forward criteria that incorporate probability distortions. A fundamental challenge is how to reconcile the time-consistent nature of…
Focusing on gains & losses relative to a risk-free benchmark instead of terminal wealth, we consider an asset allocation problem to maximize time-consistently a mean-risk reward function with a general risk measure which is i)…
I study the limit of a large random economy, where a set of consumers invests in financial instruments engineered by banks, in order to optimize their future consumption. This exercise shows that, even in the ideal case of perfect…
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 introduce a new stochastic duration model for transaction times in asset markets. We argue that widely accepted rules for aggregating seemingly related trades mislead inference pertaining to durations between unrelated trades: while any…
The paper concerns the study of equilibrium points, or steady states, of economic systems arising in modeling optimal investment with \textit{vintage capital}, namely, systems where all key variables (capitals, investments, prices) are…
This paper studies a duopoly investment model with uncertainty. There are two alternative irreversible investments. The first firm to invest gets a monopoly benefit for a specified period of time. The second firm to invest gets information…
This paper studies an open question in the warehouse problem where a merchant trading a commodity tries to find an optimal inventory-trading policy to decide on purchase and sale quantities during a fixed time horizon in order to maximize…
We consider an optimal control problem for a linear stochastic integro-diffe\-rential equation with conic constraints on the phase variable and the control of singular-regular type. Our setting includes consumption-investment problems for…
We offer mathematical tractability and new insights for a framework of exponential utility with non-negative consumption, a constraint often omitted in the literature giving rise to economically unviable solutions. Specifically, using the…
In this paper, we investigate the effects of applying generalised (non-exponential) discounting on a long-run impulse control problem for a Feller-Markov process. We show that the optimal value of the discounted problem is the same as the…