Related papers: Exponential Utility Maximization with Delay in a C…
Reinforcement learning (RL) for exponential-utility optimization in discounted Markov decision processes (MDPs) lacks principled value-based algorithms. We address this gap in the fixed risk-aversion setting. Building on the Bellman-type…
In this paper, we study the stochastic optimal control problem for control system with time-varying delay. The corresponding stochastic differential equation is a kind of stochastic differential delay equation. We prove the existence and…
We consider an investor facing a classical portfolio problem of optimal investment in a log-Brownian stock and a fixed-interest bond, but constrained to choose portfolio and consumption strategies that reduce a dynamic shortfall risk…
This paper considers a problem where multiple users make repeated decisions based on their own observed events. The events and decisions at each time step determine the values of a utility function and a collection of penalty functions. The…
We formulate conditions for the solvability of the problem of robust utility maximization from final wealth in continuous time financial markets, without assuming weak compactness of the densities of the uncertainty set, as customary in the…
We study the optimal timing of derivative purchases in incomplete markets. In our model, an investor attempts to maximize the spread between her model price and the offered market price through optimally timing her purchase. Both the…
We consider the linear quadratic Gaussian control problem with a discounted cost functional for descriptor systems on the infinite time horizon. Based on recent results from the deterministic framework, we characterize the feasibility of…
This paper proposes two algorithms for solving stochastic control problems with deep learning, with a focus on the utility maximisation problem. The first algorithm solves Markovian problems via the Hamilton Jacobi Bellman (HJB) equation.…
The notion of utility maximising entropy (u-entropy) of a probability density, which was introduced and studied by Slomczynski and Zastawniak (Ann. Prob 32 (2004) 2261-2285, arXiv:math.PR/0410115 v1), is extended in two directions. First,…
In an incomplete model, where under an appropriate num\'eraire, the stock price process is driven by a sigma-bounded semimartingale, we investigate the behavior of the expected utility maximization problem under small perturbations of the…
We investigate a continuous-time investment-consumption problem with model uncertainty in a general diffusion-based market with random model coefficients. We assume that a power utility investor is ambiguity-averse, with the preference to…
In this paper, we study an intertemporal utility maximization problem in which an investor chooses consumption and portfolio strategies in the presence of a stochastic factor and a no-borrowing constraint. In the spirit of the Kim-Omberg…
We maximize the expected utility of terminal wealth in an incomplete market where there are cone constraints on the investor's portfolio process and the utility function is not assumed to be strictly concave or differentiable. We establish…
We study the utility maximization problem for power utility random fields in a semimartingale financial market, with and without intermediate consumption. The notion of an opportunity process is introduced as a reduced form of the value…
We study Merton's expected utility maximization problem in an incomplete market, characterized by a factor process in addition to the stock price process, where all the model primitives are unknown. The agent under consideration is a price…
In a Markovian stochastic volatility model, we consider financial agents whose investment criteria are modelled by forward exponential performance processes. The problem of contingent claim indifference valuation is first addressed and a…
This paper studies a type of periodic utility maximization for portfolio management in an incomplete market model, where the underlying price diffusion process depends on some external stochastic factors. The portfolio performance is…
We consider an optimal investment-consumption problem for a utility-maximizing investor who has access to assets with different liquidity and whose consumption rate as well as terminal wealth are subject to lower-bound constraints. Assuming…
We study the sensitivity of the expected utility maximization problem in a continuous semi-martingale market with respect to small changes in the market price of risk. Assuming that the preferences of a rational economic agent are modeled…
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…