Related papers: Asymptotic Linearity of Consumption Functions and …
This paper studies a life-cycle optimal portfolio-consumption problem when the consumption performance is measured by a shortfall aversion preference with an additional drawdown constraint on consumption rate. Meanwhile, the agent also…
Stability of the utility maximization problem with random endowment and indifference prices is studied for a sequence of financial markets in an incomplete Brownian setting. Our novelty lies in the nonequivalence of markets, in which the…
This letter is devoted to the concept of ``instant'' model predictive control (iMPC) for linear systems. An optimization problem is formulated to express the finite-time constrained optimal regulation control, like conventional MPC. Then,…
We perform a stability analysis for the utility maximization problem in a general semimartingale model where both liquid and illiquid assets (random endowments) are present. Small misspecifications of preferences (as modeled via expected…
Economic Model Predictive Control has recently gained popularity due to its ability to directly optimize a given performance criterion, while enforcing constraint satisfaction for nonlinear systems. Recent research has developed both…
In this brief, we consider the constrained optimization problem underpinning model predictive control (MPC). We show that this problem can be decomposed into an unconstrained optimization problem with the same cost function as the original…
In this paper we study the asymptotic behavior of linear processes having as innovations mean zero, square integrable functions of stationary reversible Markov chains. In doing so we shall preserve the generality of coefficients assuming…
We present an optimal investment theorem for a currency exchange model with random and possibly discontinuous proportional transaction costs. The investor's preferences are represented by a multivariate utility function, allowing for…
We study unit-level expenditure on consumption across multiple countries and multiple years, in order to extract invariant features of consumption distribution. We show that the bulk of it is lognormally distributed, followed by a power law…
We establish sufficient conditions for the terminal cost and constraint such that economic model predictive control (MPC) is robustly recursively feasible and economically robust to small disturbances without any assumptions of…
The paper studies the asymptotic behaviour of weighted functionals of long-range dependent data over increasing observation windows. Various important statistics, including sample means, high order moments, occupation measures can be given…
Model predictive control (MPC) for linear systems with quadratic costs and linear constraints is shown to admit an exact representation as an implicit neural network. A method to "unravel" the implicit neural network of MPC into an explicit…
This paper studies the continuous time utility maximization problem on consumption with addictive habit formation in incomplete semimartingale markets. Introducing the set of auxiliary state processes and the modified dual space, we embed…
Given data on the choices made by consumers for different offer sets, a key challenge is to develop parsimonious models that describe and predict consumer choice behavior while being amenable to prescriptive tasks such as pricing and…
With increasing energy prices, low income households are known to forego or minimize the use of electricity to save on energy costs. If a household is on a prepaid electricity program, it can be automatically and immediately disconnected…
The main objective of this paper is to develop a martingale-type solution to optimal consumption--investment choice problems ([Merton, 1969] and [Merton, 1971]) under time-varying incomplete preferences driven by externalities such as…
The problem of portfolio optimization when stochastic factors drive returns and volatilities has been studied in previous works by the authors. In particular, they proposed asymptotic approximations for value functions and optimal…
We study the utility maximization problem for power utility random fields in a semimartingale financial market, with and without intermediate consumption. The notion of an opportunity process is introduced as a reduced form of the value…
We consider the problem of optimal consumption of multiple goods in incomplete semimartingale markets. We formulate the dual problem and identify conditions that allow for existence and uniqueness of the solution and give a characterization…
We consider a linear transport equation on the edges of a network with time-varying coefficients. Using methods for non-autonomous abstract Cauchy problems, we obtain well-posedness of the problem and describe the asymptotic profile of the…