Related papers: Optimal Consumption for Recursive Preferences with…
We consider assortment optimization over a continuous spectrum of products represented by the unit interval, where the seller's problem consists of determining the optimal subset of products to offer to potential customers. To describe the…
The necessary conditions for an optimal control of a stochastic control problem with recursive utilities is investigated. The first order condition is the the well-known Pontryagin type maximum principle. When the optimal control satisfying…
We consider the dynamic inventory problem with non-stationary demands. It has long been known that non-stationary (s, S) policies are optimal for this problem. However, finding optimal policy parameters remains a computational challenge as…
In this paper, we solve the time inconsistent portfolio selection problem by using different utility functions with a moving target as our constraint. We solve this problem by finding an equilibrium control under the given definition as our…
We consider a mechanism design setting with a single item and a single buyer who is uncertain about the value of the item. Both the buyer and the seller have a common model for the buyer's value, but the buyer discovers her true value only…
This paper characterizes the well-posedness of Karush-Kuhn-Tucker system for perturbed composite optimization. Using the parabolic regularity, we introduce a novel second-order variational function, shown to be the pivotal object governing…
In a collectivised pension fund, investors agree that any money remaining in the fund when they die can be shared among the survivors. We give a numerical algorithm to compute the optimal investment-consumption strategy for an infinite…
The optimized effective potential method is formulated as a convex minimization problem. This formulation does not require assumptions about $v$-representability nor functional differentiability. The formulation provides a natural framework…
In this paper we study a robust utility maximization problem in continuous time under model uncertainty. The model uncertainty is governed by a continuous semimartingale with uncertain local characteristics. Here, the differential…
We study proximal random reshuffling for minimizing the sum of locally Lipschitz functions and a proper lower semicontinuous convex function without assuming coercivity or the existence of limit points. The algorithmic guarantees pertaining…
We investigate the local regularity of pointed spacetimes, that is, time-oriented Lorentzian manifolds in which a point and a future-oriented, unit timelike vector (an observer) are selected. Our main result covers the class of Einstein…
In this paper, we study the Kelly criterion in the continuous time framework building on the work of E.O. Thorp and others. The existence of an optimal strategy is proven in a general setting and the corresponding optimal wealth process is…
We present a systematic study of the reconstruction of a non-negative function via maximum entropy approach utilizing the information contained in a finite number of moments of the function. For testing the efficacy of the approach, we…
We present $\varepsilon$-retrain, an exploration strategy encouraging a behavioral preference while optimizing policies with monotonic improvement guarantees. To this end, we introduce an iterative procedure for collecting retrain areas --…
This paper studies a loss-averse version of the multiplicative habit formation preference and the corresponding optimal investment and consumption strategies over an infinite horizon. The agent's consumption preference is depicted by a…
Bayesian optimization is a sample-efficient method for finding a global optimum of an expensive-to-evaluate black-box function. A global solution is found by accumulating a pair of query point and its function value, repeating these two…
In this paper, we focus on the problem of optimal portfolio-consumption policies in a multi-asset financial market, where the n risky assets follow Exponential Ornstein-Uhlenbeck processes, along with one risk-free bond. The investor's…
This paper investigates the problem of maximizing expected terminal utility in a (generically incomplete) discrete-time financial market model with finite time horizon. In contrast to the standard setting, a possibly non-concave utility…
The paper deals with a well-known extremum seeking scheme by proving uniformity properties with respect to the amplitudes of the dither signal and of the cost function. Those properties are then used to show that the scheme guarantees the…
We consider a model of optimal investment and consumption with both habit formation and partial observations in incomplete It\^{o} processes market. The investor chooses his consumption under the addictive habits constraint while only…