Related papers: Optimal allocation to deferred income annuities
Large-scale prediction models using tools from artificial intelligence (AI) or machine learning (ML) are increasingly common across a variety of industries and scientific domains. Despite their effectiveness, training AI and ML tools at…
Pension schemes all over the world are under increasing pressure to efficiently hedge the longevity risk posed by ageing populations. In this work, we study an optimal investment problem for a defined contribution pension scheme which…
In this paper, we investigate the robust optimal reinsurance,investment,and internal surplus distribution (i.e., consumption) problem for an insurer with Epstein-Zin recursive preferences in an incomplete market. It is assumed that the…
This paper studies the optimal investment problem for a hybrid pension plan under model uncertainty, where both the contribution and the benefit are adjusted depending on the performance of the plan. Furthermore, an age and time-dependent…
In this research, we present an analysis of the optimal investment, consumption, and life insurance acquisition problem for a wage earner with partial information. Our study considers the non-linear filter case where risky asset prices are…
We find economically and statistically significant gains when using machine learning for portfolio allocation between the market index and risk-free asset. Optimal portfolio rules for time-varying expected returns and volatility are…
We consider a setting where $p$ public resources are to be allocated among $n$ competing and strategic agents so as to maximize social welfare (the objects should be allocated to those who value them the most). This is called allocative…
When facing many options, we narrow down our focus to very few of them. Although behaviors like this can be a sign of heuristics, they can actually be optimal under limited cognitive resources. Here we study the problem of how to optimally…
For an exponential utility maximizing investment strategy in a Black-Scholes Setting, fixed upper and lower constraints are introduced on the terminal wealth. This is equivalent to combining the optimal strategy with options. The resulting…
This paper studies long term investing by an investor that maximizes either expected utility from terminal wealth or from consumption. We introduce the concepts of a generalized stochastic discount factor (SDF) and of the minimum price to…
I develop a revealed preference framework to test whether an aggregate allocation of indivisible objects satisfies Pareto efficiency and individual rationality (PI) without observing individual preferences. Exploiting the type-based…
This paper addresses the problem of determining the optimal time for an individual to convert retirement savings into a lifetime annuity. The individual invests their wealth into a dividend-paying fund that follows the dynamics of a…
Auction-based recommender systems are prevalent in online advertising platforms, but they are typically optimized to allocate recommendation slots based on immediate expected return metrics, neglecting the downstream effects of…
We explore an active learning approach for dynamic fair resource allocation problems. Unlike previous work that assumes full feedback from all agents on their allocations, we consider feedback from a select subset of agents at each epoch of…
We consider the problem of optimal consumption from labor income and investment in a general incomplete semimartingale market. The economic agent cannot borrow against future income, so the total wealth is required to be positive at (all or…
In this paper, we conduct a study to optimize resource allocation for adaptive real-time and delay-tolerant applications in cellular systems. To represent the user applications via several devices and equipment, sigmoidal-like and logarithm…
Bayesian models quantify uncertainty and facilitate optimal decision-making in downstream applications. For most models, however, practitioners are forced to use approximate inference techniques that lead to sub-optimal decisions due to…
The decision to annuitize wealth in retirement planning has become increasingly complex due to rising longevity risk and changing retirement patterns, including increased labor force participation at older ages. While an extensive…
We study how a budget-constrained bidder should learn to adaptively bid in repeated first-price auctions to maximize her cumulative payoff. This problem arose due to an industry-wide shift from second-price auctions to first-price auctions…
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…