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We consider an investor who is dynamically informed about the future evolution of one of the independent Brownian motions driving a stock's price fluctuations. With linear temporary price impact the resulting optimal investment problem with…
We investigate the static portfolio selection problem of S-shaped and non-concave utility maximization under first-order and second-order stochastic dominance (SD) constraints. In many S-shaped utility optimization problems, one should…
In this paper we study the optimization problem of an economic agent who chooses a job and the time of retirement as well as consumption and portfolio of assets. The agent is constrained in the ability to borrow against future income. We…
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 investigates the optimal investment, consumption, and life insurance strategies for households under the impact of health shock risk. Considering the uncertainty of the future health status of family members, a non-homogeneous…
We consider the problem of optimal investment and consumption in a class of multidimensional jump-diffusion models in which asset prices are subject to mutually exciting jump processes. This captures a type of contagion where each downward…
We study a robust utility maximization problem in the case of an incomplete market and logarithmic utility with general stochastic constraints, not necessarily convex. Our problem is equivalent to maximizing of nonlinear expected…
We study the problem of online learning (OL) from revealed preferences: a learner wishes to learn a non-strategic agent's private utility function through observing the agent's utility-maximizing actions in a changing environment. We adopt…
We study the stochastic control problem of maximizing expected utility from terminal wealth under a non-bankruptcy constraint. The wealth process is subject to shocks produced by a general marked point process. The problem of the agent is…
We explore intertemporal preferences that are recursive and account for local intertemporal substitution. First, we establish a rigorous foundation for these preferences and analyze their properties. Next, we examine the associated optimal…
A problem of optimally purchasing electricity at a real-valued spot price (that is, with potentially negative cost) has been recently addressed in De Angelis, Ferrari and Moriarty (2015) [SIAM J. Control Optim. 53(3)]. This problem can be…
We consider a class of dynamic advertising problems under uncertainty in the presence of carryover and distributed forgetting effects, generalizing a classical model of Nerlove and Arrow. In particular, we allow the dynamics of the product…
Considering that the decision-making environment faced by reinforcement learning (RL) agents is full of Knightian uncertainty, this paper describes the exploratory state dynamics equation in Knightian uncertainty to study the…
We derive a new equation for the optimal investment boundary of a general irreversible investment problem under exponential L\'evy uncertainty. The problem is set as an infinite time-horizon, two-dimensional degenerate singular stochastic…
A learning technique for finite horizon optimal control problems and its approximation based on polynomials is analyzed. It allows to circumvent, in part, the curse dimensionality which is involved when the feedback law is constructed by…
This paper studies an optimal investment and consumption problem with heterogeneous consumption of basic and luxury goods, together with the choice of time for retirement. The utility for luxury goods is not necessarily a concave function.…
We consider a stochastic inventory control problem under censored demands, lost sales, and positive lead times. This is a fundamental problem in inventory management, with significant literature establishing near-optimality of a simple…
This paper investigates the optimal retirement decision, investment, and consumption strategies in a market with jump diffusion, taking into account habit persistence and stock-wage correlation. Our analysis considers multiple stocks and a…
Consider the seller's problem of finding optimal prices for her $n$ (divisible) goods when faced with a set of $m$ consumers, given that she can only observe their purchased bundles at posted prices, i.e., revealed preferences. We study…
This paper considers a utility maximization and optimal asset allocation problem in the presence of a stochastic endowment that cannot be fully hedged through trading in the financial market. After studying continuity properties of the…