Related papers: Investment Timing and Technological Breakthroughs
Reinforcement Learning Algorithms are predominantly developed for stationary environments, and the limited literature that considers nonstationary environments often involves specific assumptions about changes that can occur in transition…
Successful materials innovations can transform society. However, materials research often involves long timelines and low success probabilities, dissuading investors who have expectations of shorter times from bench to business. A…
This paper studies optimal market making for large-tick assets in the presence of latency. We consider a random walk model for the asset price, and formulate the market maker's optimization problem using Markov Decision Processes (MDP). We…
A one-size-fits-all paradigm that only adapts the scale and immediate outcome of climate investment to economic circumstances will provide a short-lived, economically inadequate response to climate issues; given the limited resources…
Innovation is to organizations what evolution is to organisms: it is how organisations adapt to changes in the environment and improve. Governments, institutions and firms that innovate are more likely to prosper and stand the test of time;…
A/B testing is critical for modern technological companies to evaluate the effectiveness of newly developed products against standard baselines. This paper studies optimal designs that aim to maximize the amount of information obtained from…
This paper proposes and analyzes a stationary equilibrium model for a competitive industry which endogenously determines the carbon price necessary to achieve a given emission target. In the model, firms are identified by their level of…
This paper presents sufficient conditions for the existence of stationary optimal policies for average-cost Markov Decision Processes with Borel state and action sets and with weakly continuous transition probabilities. The one-step cost…
In this paper, we present an adaptive investment strategy for environments with periodic returns on investment. In our approach, we consider an investment model where the agent decides at every time step the proportion of wealth to invest…
It has been suggested that innovations occur mainly by combination: the more inventions accumulate, the higher the probability that new inventions are obtained from previous designs. Additionally, it has been conjectured that the…
It has a long tradition to study trust behavior among humans or artificial agents by investigating the trust game. Although previous studies based on evolutionary game theory have revealed that trust and trustworthiness can be promoted if…
In this paper, we consider a scenario where a source continuously monitors an object and sends time-stamped status updates to a destination through a rate-limited link. We assume updates arrive randomly at the source according to a…
The paper proposes a new stochastic intervention control model conducted in various commodity and stock markets. The essence of the phenomenon of intervention is described in accordance with current economic theory. A review of papers on…
We study the optimal financing and dividend distribution problem with restricted dividend rates in a diffusion type surplus model where the drift and volatility coefficients are general functions of the level of surplus and the external…
A portfolio of different stocks and a risk-less security whose composition is dynamically maintained stable by trading shares at any time step leads to a growth of the capital with a nonrandom rate. This is the key for the theory of…
This paper introduces a novel methodology for index return forecasting, blending highly correlated stock prices, advanced deep learning techniques, and intricate factor integration. Departing from conventional cap-weighted approaches, our…
Technological developments and the impact of artificial intelligence (AI) are omnipresent themes and concerns of the present day. Much has been written on these topics but applications of quantitative models to understand the techno-social…
We consider a risk-sensitive continuous-time Markov decision process over a finite time duration. Under the conditions that can be satisfied by unbounded transition and cost rates, we show the existence of an optimal policy, and the…
This paper presents an optimal allocation problem in a financial market with one risk-free and one risky asset, when the market is driven by a stochastic market price of risk. We solve the problem in continuous time, for an investor with a…
Sustainability initiatives are set to benefit greatly from the growing involvement of venture capital, in the same way that other technological endeavours have been enabled and accelerated in the post-war period. With the spoils…