Related papers: Necessity of Hyperbolic Absolute Risk Aversion for…
Overconservatism has long been recognized as a major issue with robust optimization, despite its key advantages of tractability, performance guarantee, and limited information. To address this issue, a new criterion is proposed that can…
This paper studies an optimal consumption-investment problem for an investor whose instantaneous utility depends on both consumption and wealth, and the investor faces a general borrowing constraint that the investment amount in the risky…
We formulate an infinite-horizon optimal investment and consumption problem, in which an individual forms a habit based on the exponentially weighted average of her past consumption rate, and in which she invests in a Black-Scholes market.…
Starting from the Kubo formula, we expand the Hall conductivity using a cumulant approach which converges quickly at high temperatures (k_BT > energy differences of initial and final scattering states) and can be extended to low…
Some years ago, Snapinn and Jiang[1] considered the interpretation and pitfalls of absolute versus relative treatment effect measures in analyses of time-to-event outcomes. Through specific examples and analytical considerations based…
We prove that many relatively hyperbolic groups obtained by relative strict hyperbolization admit a cocompact action on a CAT(0) cubical complex. Under suitable assumptions on the peripheral subgroups, these groups are residually finite and…
We consider a semilinear equation linked to the finite horizon consumption - investment problem under the stochastic factor framework and we prove it admits a classical solution and provide all obligatory estimates to successfully apply a…
Stochastic approximation (SA) is a classical approach for stochastic convex optimization. Previous studies have demonstrated that the convergence rate of SA can be improved by introducing either smoothness or strong convexity condition. In…
We provide an economic interpretation of the practice consisting in incorporating risk measures as constraints in a classic expected return maximization problem. For what we call the infimum of expectations class of risk measures, we show…
This paper investigates the consumption and risk taking decision of an economic agent with partial irreversibility of consumption decision by formalizing the theory proposed by Duesenberry (1949). The optimal policies exhibit a type of the…
I conduct Rabin's (2000) calibration exercise in the subjective expected utility realm. I show that the rejection of some risky bet by a risk-averse agent only implies the rejection of more extreme and less desirable bets and nothing more.
Hyperbolic inflation is an extension of the slow-roll inflation in multi-field models. We extend hyperbolic inflation by adding a gauge field and find four-type attractor solutions: slow-roll inflation, hyperbolic inflation, anisotropic…
Expected Shortfall (ES, also known as CVaR) is the most important coherent risk measure in finance, insurance, risk management, and engineering. Recently, Wang and Zitikis (2021) put forward four economic axioms for portfolio risk…
In many real-world applications of reinforcement learning (RL), performing actions requires consuming certain types of resources that are non-replenishable in each episode. Typical applications include robotic control with limited energy…
Based on supermodularity ordering properties, we show that convex risk measures of credit losses are nondecreasing w.r.t. credit-credit and, in a wrong-way risk setup, credit-market, covariances of elliptically distributed latent factors.…
The notion of ordinal concavity of utility functions has recently been considered by Hafalir, Kojima, Yenmez, and Yokote in economics while there exist earlier related works in discrete optimization and operations research. In the present…
This paper investigates portfolio selection within a continuous-time financial market with regime-switching and beliefs-dependent utilities. The market coefficients and the investor's utility function both depend on the market regime, which…
We develop a novel five-component decomposition of optimal dynamic portfolio choice, which reveals the simultaneous impacts from market incompleteness and wealth-dependent utilities. Under the HARA utility and a nonrandom interest rate, we…
Transaction costs play a critical role in asset allocation and consumption strategies in portfolio management. We apply the methods of dynamic programming and singular perturbation expansion to derive the closed-form leading solutions to…
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…