Related papers: Optimal Consumption for Recursive Preferences with…
We study portfolio selection in a complete continuous-time market where the preference is dictated by the rank-dependent utility. As such a model is inherently time inconsistent due to the underlying probability weighting, we study the…
Despite many decades of research, economically grounded models that analyse energy consumption and energy-efficiency adoption within a unified framework remain underdeveloped. This article addresses this gap by proposing a model of…
We consider a special class of nonconvex semidefinite programming problems and show that every point satisfying the Karush--Kuhn--Tucker (KKT) conditions is globally optimal despite nonconvexity. This property is related to pseudoconvex…
We study a continuous-time expected utility maximization problem in which the investor at maturity receives the value of a contingent claim in addition to the investment payoff from the financial market. The investor knows nothing about the…
This paper studies a discrete-time version of the Lucas-Uzawa endogenous growth model with physical and human capital in the presence of externalities. Existence of an optimal equilibrium is proved using tools from dynamic programming with…
This paper considers the portfolio management problem of optimal investment, consumption and life insurance. We are concerned with time inconsistency of optimal strategies. Natural assumptions, like different discount rates for consumption…
This paper characterizes differentiable and subgame Markov perfect equilibria in a continuous time intertemporal decision problem with non-constant discounting. Capturing the idea of non commitment by letting the commitment period being…
We consider a generalization of the recursive utility model by adding a new component that represents utility of investment gains and losses. We also study the utility process in this generalized model with constant elasticity of…
This paper studies a robust utility maximization problem for intractable claims under distributional ambiguity, where the distribution of the claim cannot be inferred from market information and its dependence with tradable assets is…
We show that a large effective number of commodities can be a source of equilibrium stability and uniqueness: expanding substitution opportunities strengthens aggregate substitution effects. We study finite dated-commodity exchange…
We consider a continuous-time market with proportional transaction costs. Under appropriate assumptions we prove the existence of optimal strategies for investors who maximize their worst-case utility over a class of possible models. We…
In this paper, we analyze the optimal management of local memory systems, using the tools of stationary point processes. We provide a rigorous setting of the problem, building upon recent work, and characterize the optimal causal policy…
The paper considers the optimal control problem of inventory of a discrete product in regeneration scheme with a Poisson flow of customer requirements. In the system deferred demand is allowed, the volume of which is limited by a given…
We constructively prove the existence of time-discrete consumption processes for stochastic money accounts that fulfill a pre-specified positively homogeneous projection property (PHPP) and let the account always be positive and exactly…
Envy-freeness up to any good (EFX) provides a strong and intuitive guarantee of fairness in the allocation of indivisible goods. But whether such allocations always exist or whether they can be efficiently computed remains an important open…
We consider an arbitrage-free, discrete time and frictionless market. We prove that an investor maximising the expected utility of her terminal wealth can always find an optimal investment strategy provided that her dissatisfaction of…
This paper presents a framework for inverse learning of objective functions for constrained optimal control problems, which is based on the Karush-Kuhn-Tucker (KKT) conditions. We discuss three variants corresponding to different model…
We develop a model of the behaviour of a dynamically optimizing economic agent who makes consumption-saving and spatial relocation decisions. We formulate an existence result for the model, derive the necessary conditions for optimality and…
In this paper, we prove a structure theorem for discrete optimal transportation plans. We show that, given any pair of discrete probability measures and a cost function, there exists an optimal transportation plan that can be expressed as…
We extend Berge's Maximum Theorem to allow for incomplete preferences. We first provide a simple version of the Maximum Theorem for convex feasible sets and a fixed preference. Then, we show that if, in addition to the traditional…