Related papers: Optimal pair trading: consumption-investment probl…
A public decision-making problem consists of a set of issues, each with multiple possible alternatives, and a set of competing agents, each with a preferred alternative for each issue. We study adaptations of market economies to this…
Classically, the optimal control problem in the presence of an adversary is formulated as a two-player zero-sum differential game or an $H_\infty$ control problem. The solution to these problems can be obtained by solving the…
In this paper, we prove sharp estimates for the average cost of the optimal matching problem on the flat 2-torus, using quantitative linearization and the method of trajectories.
We propose an approach to applying neural networks on linear parabolic variational inequalities. We use loss functions that directly incorporate the variational inequality on the whole domain to bypass the need to determine the stopping…
This paper presents SIMPOL (Simplified Policy Iteration), a modular numerical framework for solving continuous-time heterogeneous agent models. The core economic problem, the optimization of consumption and savings under idiosyncratic…
The Hamilton-Jacobi-Bellman equation arising from the optimal portfolio selection problem is studied by means of the maximal monotone operator method. The existence and uniqueness of a solution to the Cauchy problem for the nonlinear…
This paper studies a finite horizon utility maximization problem on excessive consumption under a drawdown constraint. Our control problem is an extension of the one considered in Bahman et al. (2019) to the model with a finite horizon and…
This paper is devoted to invest an optimal investment strategy for a defined-contribution (DC) pension plan under the Ornstein-Uhlenbeck (O-U) process and the loan. By considering risk-free asset, a risky asset driven by O-U process and a…
We consider the classical Ramsey-Cass-Koopmans capital accumulation model and present three examples in which the Hamilton-Jacobi-Bellman (HJB) equation is neither necessary nor sufficient for a function to be the value function. Next, we…
We study the optimal investment stopping problem in both continuous and discrete case, where the investor needs to choose the optimal trading strategy and optimal stopping time concurrently to maximize the expected utility of terminal…
This paper studies matching markets in the presence of middlemen. In our framework, a buyer-seller pair may either trade directly or use the services of a middleman; and a middleman may serve multiple buyer-seller pairs. Direct trade…
We study bilateral trade with interdependent values as an informed-principal problem. The mechanism-selection game has multiple equilibria that differ with respect to principal's payoff and trading surplus. We characterize the equilibrium…
We consider the problem of the optimal trading strategy in the presence of a price predictor, linear trading costs and a quadratic risk control. The solution is known to be a band system, a policy that induces a no-trading zone in the…
This study investigates an optimal consumption--investment problem in which the unobserved stock trend is modulated by a hidden Markov chain that represents different economic regimes. In the classical approach, the hidden state is…
We study surplus division in network constrained bilateral matching markets with transferable utility. We introduce a new solution concept, the credible bargaining solution, which refines stability by requiring that, for each matched pair…
In this paper, we consider the problem of optimal investment by an insurer. The insurer invests in a market consisting of a bank account and $m$ risky assets. The mean returns and volatilities of the risky assets depend nonlinearly on…
This paper considers pairs of optimization problems that are defined from a single input and for which it is desired to find a good approximation to either one of the problems. In many instances, it is possible to efficiently find an…
In this paper we prove that there exists a smooth classical solution to the HJB equation for a large class of constrained problems with utility functions that are not necessarily differentiable or strictly concave. The value function is…
This paper studies an optimal consumption problem with both relaxed benchmark tracking and consumption drawdown constraint, leading to a stochastic control problem with dynamic state-control constraints. In our relaxed tracking formulation,…
Optimal multi-asset trading with Markovian predictors is well understood in the case of quadratic transaction costs, but remains intractable when these costs are $L_1$. We present a mean-field approach that reduces the multi-asset problem…