Related papers: Optimal allocation to deferred income annuities
This paper designs a market algorithm for fractional ownership of an indivisible asset. It provides an efficient market mechanism, named Direct Fractional Auction (DFA) that offers valuable assets to both small and large investors who can…
We consider an optimal investment-consumption problem for a utility-maximizing investor who has access to assets with different liquidity and whose consumption rate as well as terminal wealth are subject to lower-bound constraints. Assuming…
This paper investigates optimal investment and pension policies in a Pay-As-You-Go (PAYG) system supplemented by a buffer fund used as an intergenerational risk-sharing mechanism. The social planner's preference criterion is represented by…
Disability insurance claims are often affected by lengthy reporting delays and adjudication processes. The classic multistate life insurance modeling framework is ill-suited to handle such information delays since the cash flow and…
A planner allocates discrete transfers of size $D_g$ to $N$ heterogeneous groups labeled $g$ and has CES preferences over the resulting outcomes, $H_g(D_g)$. We derive a closed-form solution for optimally allocating a fixed budget subject…
Optimal stopping is the problem of determining when to stop a stochastic system in order to maximize reward, which is of practical importance in domains such as finance, operations management and healthcare. Existing methods for…
Delayed rewards problem in contextual bandits has been of interest in various practical settings. We study randomized allocation strategies and provide an understanding on how the exploration-exploitation tradeoff is affected by delays in…
A recent method using Dynamic Linear Models to improve preferred treatment allocation budget in random allocation models was proposed by Lee, Boone, et al (2020). However this model failed to include the impact covariates such as smoking,…
Stochastic network optimization problems entail finding resource allocation policies that are optimum on an average but must be designed in an online fashion. Such problems are ubiquitous in communication networks, where resources such as…
We consider a repeated auction where the buyer's utility for an item depends on the time that elapsed since his last purchase. We present an algorithm to build the optimal bidding policy, and then, because optimal might be impractical, we…
This paper introduces an innovative framework for the periodic evaluation of defined-contribution pension funds. The performance of the pension fund is evaluated not only at retirement, but also within the interim periods. In contrast to…
In this paper, we study an optimal excess-of-loss reinsurance and investment problem for an insurer in defaultable market. The insurer can buy reinsurance and invest in the following securities: a bank account, a risky asset with stochastic…
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…
People are often reluctant to sell a house, or shares of stock, below the price at which they originally bought it. While this is generally not consistent with rational utility maximization, it does reflect two strong empirical regularities…
The high computational complexity and high energy consumption of artificial intelligence (AI) algorithms hinder their application in augmented reality (AR) systems. This paper considers the scene of completing video-based AI inference tasks…
Equipping current decision-making tools with notions of fairness, equitability, or other ethically motivated outcomes, is one of the top priorities in recent research efforts in machine learning, AI, and optimization. In this paper, we…
An indivisible object may be sold to one of $n$ agents who know their valuations of the object. The seller would like to use a revenue-maximizing mechanism but her knowledge of the valuations' distribution is scarce: she knows only the…
This article introduces a novel hybrid regime identification-forecasting framework designed to enhance multi-asset portfolio construction by integrating asset-specific regime forecasts. Unlike traditional approaches that focus on broad…
We consider a problem of optimal investment with intermediate consumption and random endowment in an incomplete semimartingale model of a financial market. We establish the key assertions of the utility maximization theory assuming that…
The optimal taxation of assets requires attention to two concerns: 1) the elasticity of the supply of assets and 2) the impact of taxing assets on distributional objectives. The most efficient way to attend to these two concerns is to tax…