Related papers: A Framework of State-dependent Utility Optimizatio…
A key trait of stochastic optimizers is that multiple runs of the same optimizer in attempting to solve the same problem can produce different results. As a result, their performance is evaluated over several repeats, or runs, on the…
We study a problem of utility maximization under model uncertainty with information including jumps. We prove first that the value process of the robust stochastic control problem is described by the solution of a quadratic-exponential…
In this paper, we propose and analyze a trust-region model-based algorithm for solving unconstrained stochastic optimization problems. Our framework utilizes random models of an objective function $f(x)$, obtained from stochastic…
We develop a generalized stability framework for stochastic discrete-time systems, where the generality pertains to the ways in which the distribution of the state energy can be characterized. We use tools from finance and operations…
This paper introduces a multi-timescale stochastic programming framework designed to address decision-making challenges in power systems, particularly those with high renewable energy penetration. The framework models interactions across…
In this paper we study the optimal investment and reinsurance problem of an insurance company whose investment preferences are described via a forward dynamic exponential utility in a regime-switching market model. Financial and actuarial…
The paper generalizes the construction by stochastic flows of consistent utility processes introduced by M. Mrad and N. El Karoui in (2010). The utilities random fields are defined from a general class of processes denoted by $\GX$. Making…
We examine the problem of optimal portfolio allocation within the framework of utility theory. We apply exponential utility to derive the optimal diversification strategy and logarithmic utility to determine the optimal leverage. We enhance…
This paper studies Merton's problem in an extended formulation by incorporating the benchmark tracking on the wealth process. We consider a tracking formulation where the fund manager aims to maximize the trade-off between the expected…
We study a robust utility maximization problem in the unbounded case with a general penalty term and information including jumps. We focus on time consistent penalties and we prove that there exists an optimal probability measure solution…
Research on new optimization algorithms is often funded based on the motivation that such algorithms might improve the capabilities to deal with real-world and industrially relevant optimization challenges. Besides a huge variety of…
The maximum entropy principle can be used to assign utility values when only partial information is available about the decision maker's preferences. In order to obtain such utility values it is necessary to establish an analogy between…
We consider the problem of optimally utilizing $N$ resources, each in an unknown binary state. The state of each resource can be inferred from state-dependent noisy measurements. Depending on its state, utilizing a resource results in…
This paper is concerned with a simulation study for a stochastic production network model, where the capacities of machines may change randomly. We introduce performance measures motivated by risk measures from finance leading to a…
We study the optimization of the expected long-term reward in finite partially observable Markov decision processes over the set of stationary stochastic policies. In the case of deterministic observations, also known as state aggregation,…
In modern portfolio theory, the balancing of expected returns on investments against uncertainties in those returns is aided by the use of utility functions. The Kelly criterion offers another approach, rooted in information theory, that…
This paper investigates well posedness of utility maximization problems for financial markets where stock returns depend on a hidden Gaussian mean reverting drift process. Since that process is potentially unbounded, well posedness cannot…
Price benchmarks are used to incorporate market price trends into contracts, but their use can create opportunities for manipulation by parties involved in the contract. This paper examines this issue using a realistic and tractable model…
Risk measures for multivariate financial positions are studied in a utility-based framework. Under a certain incomplete preference relation, shortfall and divergence risk measures are defined as the optimal values of specific set…
Consider a service system where incoming tasks are instantaneously dispatched to one out of many heterogeneous server pools. Associated with each server pool is a concave utility function which depends on the class of the server pool and…