Related papers: Optimal Mix Among PAYGO, EET and Individual Saving…
We study the problem of optimal long term portfolio selection with a view to beat a benchmark. Two kinds of objectives are considered. One concerns the probability of outperforming the benchmark and seeks either to minimise the decay rate…
This paper studies the optimal consumption under the addictive habit formation preference in markets with transaction costs and unbounded random endowments. To model the proportional transaction costs, we adopt the Kabanov's multi-asset…
In consequential domains, it is often impossible to compel individuals to take treatment, so that optimal policy rules are merely suggestions in the presence of human non-adherence to treatment recommendations. We study personalized…
Portfolio management problems are often divided into two types: active and passive, where the objective is to outperform and track a preselected benchmark, respectively. Here, we formulate and solve a dynamic asset allocation problem that…
We consider an intermediary's problem of dynamically matching demand and supply of heterogeneous types in a periodic-review fashion. More specifically, there are two disjoint sets of demand and supply types, and a reward associated with…
This paper researches the problem of purchasing deferred term insurance in the context of financial planning to maximize the probability of achieving a personal financial goal. Specifically, our study starts from the perspective of hedging…
We consider the problem of finding Pareto-optimal allocations of risk among finitely many agents. The associated individual risk measures are law invariant, but with respect to agent-dependent and potentially heterogeneous reference…
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…
A central challenge in using price signals to coordinate the electricity consumption of a group of users is the operator's lack of knowledge of the users due to privacy concerns. In this paper, we develop a two-time-scale incentive…
The focus on Renewable Energy Communities (REC) is fastly growing after the European Union (EU) has introduced a dedicated regulation in 2018. The idea of creating local groups of citizens, small- and medium-sized companies, and public…
In this paper, we consider a perfect coordinated water-filling game, where each user transmits solely on a given carrier. The main goal of the proposed algorithm (which we call FEAT) is to get close to the optimal, while keeping a decent…
Population-based evolutionary algorithms (EAs) have been widely applied to solve various optimization problems. The question of how the performance of a population-based EA depends on the population size arises naturally. The performance of…
In this paper, we study the problem of expected utility maximization of an agent who, in addition to an initial capital, receives random endowments at maturity. Contrary to previous studies, we treat as the variables of the optimization…
Brazil is the 5th largest country in the world, despite of having a ``High Human Development'' it is the 9th most unequal country. The existing Brazilian micro pension programme is one of the safety nets for poor people. To become eligible…
In this paper, we provide our milestone ensemble sort work and the first-hand practical experience, Pantheon, which transforms ensemble sorting from a "human-curated art" to a "machine-optimized science". Compared with formulation-based…
Multi-agent policy-gradient methods have been shown to converge locally near stable Nash equilibria. Local convergence, however, does not determine which equilibrium is reached. We study this question through basin-entry probability with…
This study intends to present a representation of a pensions fund through a stochastic network with two infinite servers nodes. With this representation it is allowed to deduce an equilibrium condition of the system with basis on the…
The long-term impact of algorithmic decision making is shaped by the dynamics between the deployed decision rule and individuals' response. Focusing on settings where each individual desires a positive classification---including many…
We study the Merton problem of optimal consumption-investment for the case of two investors sharing a final wealth. The typical example would be a husband and wife sharing a portfolio looking to optimize the expected utility of consumption…
The purpose of this paper is to introduce a new growth adjusted price-earnings measure (GA-P/E) and assess its efficacy as measure of value and predictor of future stock returns. Taking inspiration from the interpretation of the traditional…