Related papers: Intertemporal Cost-efficient Consumption
In credit risk analysis, survival models with fixed and time-varying covariates are widely used to predict a borrower's time-to-event. When the time-varying drivers are endogenous, modelling jointly the evolution of the survival time and…
Distributed energy systems with prosumers require new methods for coordinating energy exchange among agents. Coalitional control provides a framework in which agents form groups to cooperatively reduce costs; however, existing bottom-up…
We study information elicitation in cost-function-based combinatorial prediction markets when the market maker's utility for information decreases over time. In the sudden revelation setting, it is known that some piece of information will…
Motivated by applications such as cloud platforms allocating GPUs to users or governments deploying mobile health units across competing regions, we study the dynamic allocation of a reusable resource to strategic agents with private…
This paper studies distributed online convex optimization with time-varying coupled constraints, motivated by distributed online control in network systems. Most prior work assumes a separability condition: the global objective and coupled…
We consider an optimal investment and consumption problem for a Black-Scholes financial market with stochastic coefficients driven by a diffusion process. We assume that an agent makes consumption and investment decisions based on CRRA…
This paper considers utility indifference valuation of derivatives under model uncertainty and trading constraints, where the utility is formulated as an additive stochastic differential utility of both intertemporal consumption and…
Recommender systems play a crucial role in internet economies by connecting users with relevant products. However, designing effective recommender systems faces the key challenges: the exploration-exploitation tradeoff in securing incentive…
This paper considers the problem of consumption and investment in a financial market within a continuous time stochastic economy. The investor exhibits a change in the discount rate. The investment opportunities are a stock and a riskless…
A dynamic model of collective consumption and saving decisions made by a finite number of agents with constant but different discount rates is developed. Collective utility is a weighted sum of individual utilities with time-varying utility…
This paper develops a practical framework for using observational data to audit the consumer surplus effects of AI-driven decisions, specifically in targeted pricing and algorithmic lending. Traditional approaches first estimate demand…
This paper introduces a novel stochastic control framework to enhance the capabilities of automated investment managers, or robo-advisors, by accurately inferring clients' investment preferences from past activities. Our approach leverages…
We consider the optimal investment and marginal utility pricing problem of a risk averse agent and quantify their exposure to a small amount of model uncertainty. Specifically, we compute explicitly the first-order sensitivity of their…
This paper studies finite-time optimal consumption-investment problems with power, logarithmic and exponential utilities, in a regime switching market with random coefficients, subject to coupled constraints on the consumption and…
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…
In behavioral finance, aversion affects investors' judgment of future uncertainty when profit and loss occur. Considering investors' aversion to loss and risk, and the ambiguous uncertainty characterizing asset returns, we construct a…
This paper considers a time-varying optimization problem associated with a network of systems, with each of the systems shared by (and affecting) a number of individuals. The objective is to minimize cost functions associated with the…
We study investment and insurance demand decisions for an agent in a theoretical continuous-time expected utility maximization model that combines risky assets with an (exogenous) insurable background risk. This risk takes the form of a…
In this paper we consider the problem of optimizing lifetime consumption under a habit formation model. Our work differs from previous results, because we incorporate mortality and pension income. Lifetime utility of consumption makes the…
We propose a model in which, in exchange to the payment of a fixed transaction cost, an insurance company can choose the retention level as well as the time at which subscribing a perpetual reinsurance contract. The surplus process of the…