Related papers: Time-consistent pension policy with minimum guaran…
We use a neural network to identify the optimal solution to a family of optimal investment problems, where the parameters determining an investor's risk and consumption preferences are given as inputs to the neural network in addition to…
Motivated by the cost savings that can be obtained by sharing resources in a network context, we consider a stylized, yet representative model, for the coordination of maintenance and service logistics for a geographic network of assets.…
The effects of saving and spending patterns on holding time distribution of money are investigated based on the ideal gas-like models. We show the steady-state distribution obeys an exponential law when the saving factor is set uniformly,…
Structuring a viable pension plan is a problem that arises in the study of financial contracts pricing and bears special importance these days. Deterministic pension models often rely on projections that are based on several assumptions…
In this paper, we consider a risk-based optimal investment problem of an insurer in a regime-switching jump diffusion model with noisy memory. Using the model uncertainty modeling, we formulate the investment problem as a zero-sum,…
In this paper,we study the individual's optimal retirement time and optimal consumption under habitual persistence. Because the individual feels equally satisfied with a lower habitual level and is more reluctant to change the habitual…
Engineered and infrastructure systems deteriorate (e.g., loss capacity) as a result of adverse environmental or external conditions. Modeling deterioration is essential to define optimum design strategies and inspection and maintenance…
We propose a model in which dividend payments occur at regular, deterministic intervals in an otherwise continuous model. This contrasts traditional models where either the payment of continuous dividends is controlled or the dynamics are…
This paper studies stability of the exponential utility maximization when there are small variations on agent's utility function. Two settings are considered. First, in a general semimartingale model where random endowments are present, a…
This paper studies a life-cycle optimal portfolio-consumption problem when the consumption performance is measured by a shortfall aversion preference with an additional drawdown constraint on consumption rate. Meanwhile, the agent also…
We introduce a new class of adaptive policies called periodic-affine policies, that allows a decision maker to optimally manage and control large-scale newsvendor networks in the presence of uncertain demand without distributional…
Motivated by the AIG bailout case in the financial crisis of 2007-2008, we consider an insurer who wants to maximize the expected utility of the terminal wealth by selecting optimal investment and risk control strategies. The insurer's risk…
We propose a scalable, policy-centric framework for continuous-time multi-asset portfolio-consumption optimization under inequality constraints. Our method integrates neural policies with Pontryagin's Maximum Principle (PMP) and enforces…
We study the gap between the state pension provided by the Italian pension system pre-Dini reform and post-Dini reform. The goal is to fill the gap between the old and the new pension by joining a defined contribution pension scheme and…
Signals coming from multivariate higher order conditional moments as well as the information contained in exogenous covariates, can be effectively exploited by rational investors to allocate their wealth among different risky investment…
This paper addresses a central challenge of jointly considering shorter-term (e.g. hourly) and longer-term (e.g. yearly) uncertainties in power system planning with increasing penetration of renewable and storage resources. In conventional…
This paper investigates dynamic and static fund separations and their stability for long-term optimal investments under three model classes. An investor maximizes the expected utility with constant relative risk aversion under an incomplete…
We consider dynamic pricing strategies in a streamed longitudinal data set-up where the objective is to maximize, over time, the cumulative profit across a large number of customer segments. We consider a dynamic model with the consumers'…
We propose and solve a stochastic dynamic programming (DP) problem addressing the optimal provision of regulation service reserves (RSR) by controlling dynamic demand preferences in smart buildings. A major contribution over past dynamic…
In this paper, we propose a novel dynamic decision method by applying the sensitivity-based optimization theory to find the optimal energy-efficient policy of a data center with two groups of heterogeneous servers. Servers in Group 1 always…