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This paper solves the problem of optimal dynamic consumption, investment, and healthcare spending with isoelastic utility, when natural mortality grows exponentially to reflect Gompertz' law and investment opportunities are constant.…
We study a discrete-time model where each packet has a cost of not being sent -- this cost might depend on the packet content. We study the tradeoff between the age and the cost where the sender is confined to packet-based strategies. The…
This paper investigates the problem of ensembling multiple strategies for sequential portfolios to outperform individual strategies in terms of long-term wealth. Due to the uncertainty of strategies' performances in the future market, which…
Empirical Welfare Maximization (EWM) is a framework that can be used to select welfare program eligibility policies based on data. This paper extends EWM by allowing for uncertainty in estimating the budget needed to implement the selected…
Systemic risk arises as a multi-layer network phenomenon. Layers represent direct financial exposures of various types, including interbank liabilities, derivative- or foreign exchange exposures. Another network layer of systemic risk…
Several mating restriction techniques have been implemented in Evolutionary Algorithms to promote diversity. From similarity-based selection to niche preservation, the general goal is to avoid premature convergence by not having fitness…
In this paper, we consider a dynamic coalition portfolio selection problem, with each agent's objective given by an Epstein--Zin recursive utility. To find a Pareto optimum, the coalition's problem is formulated as an optimization problem…
Machine-learning-based age estimation has received lots of attention. Traditional age estimation mechanism focuses estimation age error, but ignores that there is a deviation between the estimated age and real age due to disease.…
We consider a distributed IoT network, where each node wants to minimize its age of information and there is a cost to make any transmission. A collision model is considered, where any transmission is successful from a node to a common…
We study the emergence of conformity preferences in an environment in which agents choose effort under heterogeneous, possibly misspecified returns, and social interactions do not directly affect material payoffs. Some agents choose effort…
Financial experts and analysts seek to predict the variability of financial markets. In particular, the correct prediction of this variability ensures investors successful investments. However, there has been a big trend in finance in the…
Alignment in artificial intelligence pursues the consistency between model responses and human preferences as well as values. In practice, the multifaceted nature of human preferences inadvertently introduces what is known as the "alignment…
This paper investigates the optimal consumption, investment, and life insurance/annuity decisions for a family in an inflationary economy under money illusion. The family can invest in a financial market that consists of nominal bonds,…
We present a Pontryagin-Guided Direct Policy Optimization (PG-DPO) framework for Merton's portfolio problem, unifying modern neural-network-based policy parameterization with the adjoint viewpoint from Pontryagin's maximum principle (PMP).…
This paper develops a model of in-kind redistribution where consumers participate in either a private market or a government-designed program, but not both. We characterize when a social planner, seeking to maximize weighted total surplus,…
The increasing penetration of renewable energy necessitates improved power system flexibility, driving the deployment of independent energy storage operators (ESOs). Existing research extensively investigates capacity sizing for price-taker…
Scheduling the power exchange between a population of heterogeneous distributed energy resources and the corresponding upper-level system is an important control problem in power systems. A key challenge is the large number of (partially…
We study a sequence of independent one-shot non-cooperative games where agents play equilibria determined by a tunable mechanism. Observing only equilibrium decisions, without parametric or distributional knowledge of utilities, we aim to…
Each household in a population characterized by income heterogeneity faces random demand for electricity and decides if and when it should adopt a solar product, rooftop solar or community solar. A central planner, aiming to meet an…
In this paper, we consider the problem of a Principal aiming at designing a reward function for a population of heterogeneous agents. We construct an incentive based on the ranking of the agents, so that a competition among the latter is…