Related papers: Asymptotic Linearity of Consumption Functions and …
The consumption function maps current wealth and the exogenous state to current consumption. We prove the existence and uniqueness of a consumption function when the agent has a preference for wealth. When the period utility functions are…
Empirical evidence suggests that the rich have higher propensity to save than do the poor. While this observation may appear to contradict the homotheticity of preferences, we theoretically show that that is not the case. Specifically, we…
Empirical evidence shows that wealthy households have substantially higher saving rates and markedly lower marginal propensity to consume (MPC) than other groups. Existing theory cannot account for this pattern unless under restrictive…
We establish when the two problems of minimizing a function of lifetime minimum wealth and of maximizing utility of lifetime consumption result in the same optimal investment strategy on a given open interval $O$ in wealth space. To answer…
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 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 consider the problem of optimal consumption from labor income and investment in a general incomplete semimartingale market. The economic agent cannot borrow against future income, so the total wealth is required to be positive at (all or…
In the context of nonlinear prices, the empirical evidence suggests that the consumers have cognitive biases represented in a limited understanding of nonlinear price structures, and they respond to some alternative perceptions of the…
We constructively prove the existence of time-discrete consumption processes for stochastic money accounts that fulfill a pre-specified positively homogeneous projection property (PHPP) and let the account always be positive and exactly…
In this work, we study economic model predictive control (MPC) in situations where the optimal operating behavior is periodic. In such a setting, the performance of a standard economic MPC scheme without terminal conditions can generally be…
We study finite-horizon budget allocation as a closed-loop economic control problem and evaluate receding-horizon Model Predictive Control (MPC) relative to reactive budgeting policies. Budgets are allocated periodically under execution…
Inexact methods for model predictive control (MPC), such as real-time iterative schemes or time-distributed optimization, alleviate the computational burden of exact MPC by providing suboptimal solutions. While the asymptotic stability of…
Economic Model Predictive Control (MPC) dissipativity theory is central to discussing the stability of policies resulting from minimizing economic stage costs. In its current form, the dissipativity theory for economic MPC applies to…
The nexus between debt and inequality has attracted considerable scholarly attention in the wake of the global financial crisis. One prominent candidate to explain the striking co-evolution of income inequality and private debt in this…
In this study we establish connections between asymptotic functions and properties of solutions to important problems in wireless networks. We start by introducing a class of self-mappings (called asymptotic mappings) constructed with…
We consider the problem of optimizing the economic performance of nonlinear constrained systems subject to uncertain time-varying parameters and bounded disturbances. In particular, we propose an adaptive economic model predictive control…
This paper is concerned with asymptotic behavior of a variety of functionals of increments of continuous semimartingales. Sampling times are assumed to follow a rather general discretization scheme. If an underlying semimartingale is…
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…
The problem of estimating a linear functional based on observational data is canonical in both the causal inference and bandit literatures. We analyze a broad class of two-stage procedures that first estimate the treatment effect function,…
We consider the problem of robust and adaptive model predictive control (MPC) of a linear system, with unknown parameters that are learned along the way (adaptive), in a critical setting where failures must be prevented (robust). This…