Related papers: Optimal exit decision of venture capital under tim…
For optimal stopping problems with time-inconsistent preference, we measure the inherent level of time-inconsistency by taking the time needed to turn the naive strategies into the sophisticated ones. In particular, when in a repeated…
We investigate time-inconsistent portfolio problems under a broader class of monotone mean-variance (MMV) preferences. Since the optimal strategies for MMV and mean-variance (MV) preferences coincide, the MMV optimal strategies at different…
We study a practical optimization problems for venture capital investments and/or Research and Development (R&D) investments. The first problem is that, given the amount of the initial investment and the reward function at the initial…
We employ a natural method from the perspective of the optimal stopping theory to analyze entry-exit decisions with implementation delay of a project, and provide closed expressions for optimal entry decision times, optimal exit decision…
This paper analyzes the timing options embedded in a startup firm, and the associated market entry and exit timing decisions under the exogenous risks of early termination and competitor's entry. Our valuation approach leads to the…
We consider the control problem with \textit{exit time}. Unlike the Bolza and Mayer problems, in this problem the terminal time of the trajectories is not fixed, but it is the first time at which they reach a given closed subset -…
Recently, there has been a growing interest in developing inventory control policies which are robust to model misspecification. One approach is to posit that nature selects a worst-case distribution for any stochastic primitives from some…
Time inconsistency is prevalent in dynamic choice problems: a plan of actions to be taken in the future that is optimal for an agent today may not be optimal for the same agent in the future. If the agent is aware of this intra-personal…
Even in the face of deteriorating and highly volatile demand, firms often invest in, rather than discard, aging technologies. In order to study this phenomenon, we model the firm's profit stream as a Brownian motion with negative drift. At…
Financial markets are often modelled as if time were unique and continuous across assets and markets. Financial markets are however asynchronous, order flow is event-driven, and waiting times between events are often random. Many of the…
We develop a complete analysis of a general entry-exit-scrapping model. In particular, we consider an investment project that operates within a random environment and yields a payoff rate that is a function of a stochastic economic…
This paper studies the optimal risk-averse timing to sell a risky asset. The investor's risk preference is described by the exponential, power, or log utility. Two stochastic models are considered for the asset price -- the geometric…
This paper introduces a novel stochastic control framework to enhance the capabilities of automated investment managers, or robo-advisors, by accurately inferring clients' investment preferences from past activities. Our approach leverages…
This paper considers the portfolio management problem of optimal investment, consumption and life insurance. We are concerned with time inconsistency of optimal strategies. Natural assumptions, like different discount rates for consumption…
Time-consistency is an essential requirement in risk sensitive optimal control problems to make rational decisions. An optimization problem is time consistent if its solution policy does not depend on the time sequence of solving the…
A firm that sells a non perishable product considers intertemporal price discrimination in the objective of maximizing its long-run average revenue. We consider a general model of patient customers with changing valuations. Arriving…
The timing of strategic exit is one of the most important but difficult business decisions, especially under competition and uncertainty. Motivated by this problem, we examine a stochastic game of exit in which players are uncertain about…
We apply the theory of continuous time random walks to study some aspects of the extreme value problem applied to financial time series. We focus our attention on extreme times, specifically the mean exit time and the mean first-passage…
To improve the efficient frontier of the classical mean-variance model in continuous time, we propose a varying terminal time mean-variance model with a constraint on the mean value of the portfolio asset, which moves with the varying…
We study the optimal timing of derivative purchases in incomplete markets. In our model, an investor attempts to maximize the spread between her model price and the offered market price through optimally timing her purchase. Both the…