Related papers: Optimal stopping and divestment timing under scena…
We study an optimal liquidation problem with multiplicative price impact in which the trend of the asset's price is an unobservable Bernoulli random variable. The investor aims at selling over an infinite time-horizon a fixed amount of…
This paper investigates the equilibrium portfolio selection for smooth ambiguity preferences in a continuous-time market. The investor is uncertain about the risky asset's drift term and updates the subjective belief according to the…
We consider a controlled diffusion process $(X_t)_{t\ge 0}$ where the controller is allowed to choose the drift $\mu_t$ and the volatility $\sigma_t$ from a set $\K(x) \subset \R\times (0,\infty)$ when $X_t=x$. By choosing the largest…
We study the impact of transition scenario uncertainty, namely that of future carbon price and electricity demand, on the pace of decarbonization of the electricity industry. To this end, we develop a theory of optimal stopping mean-field…
We address the problem of making a managerial decision when the investment project is subsidized, which results in the resolution of an infinite-horizon optimal stopping problem of a switching diffusion driven by either an homogeneous or an…
We study a problem of optimal irreversible investment and emission reduction formulated as a nonzero-sum dynamic game between an investor with environmental preferences and a firm. The game is set in continuous time on an infinite-time…
Motivated by recent axiomatic developments, we study the risk- and ambiguity-averse investment problem where trading takes place over a fixed finite horizon and terminal payoffs are evaluated according to a criterion defined in terms of a…
Transmission-constrained problems in power systems can be cast as polynomial optimization problems whose coefficients vary over time. We consider the complications therein and suggest several approaches. On the example of the…
In many engineered systems, optimization is used for decision making at time-scales ranging from real-time operation to long-term planning. This process often involves solving similar optimization problems over and over again with slightly…
In this paper we discuss the optimal liquidation over a finite time horizon until the exit time. The drift and diffusion terms of the asset price are general functions depending on all variables including control and market regime. There is…
The first motivation of our paper is to explore further the idea that, in risk control problems, it may be profitable to base decisions both on the position of the underlying process Xt and on its supremum Xt := sup 0$\le$s$\le$t Xs.…
Deciding the best future execution time is a critical task in many business activities while evolving time series forecasting, and optimal timing strategy provides such a solution, which is driven by observed data. This solution has plenty…
In the seminal paper on optimal execution of portfolio transactions, Almgren and Chriss (2001) define the optimal trading strategy to liquidate a fixed volume of a single security under price uncertainty. Yet there exist situations, such as…
We compare optimal static and dynamic solutions in trade execution. An optimal trade execution problem is considered where a trader is looking at a short-term price predictive signal while trading. When the trader creates an instantaneous…
The paper considers an investment timing problem appearing in real options theory. Present values from an investment project are modeled by general diffusion process. We prove necessary and sufficient conditions under which an optimal…
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…
In this paper, we study a stochastic optimal control problem with stochastic volatility. We prove the sufficient and necessary maximum principle for the proposed problem. Then we apply the results to solve an investment, consumption and…
In this paper, we study a virtual wireless operator's spectrum investment problem under spectrum supply uncertainty. To obtain enough spectrum resources to meet its customer demands, the virtual operator can either sense for the temporarily…
We consider adaptive decision-making problems where an agent optimizes a cumulative performance objective by repeatedly choosing among a finite set of options. Compared to the classical prediction-with-expert-advice set-up, we consider…
We consider an optimal investment and risk control problem for an insurer under the mean-variance (MV) criterion. By introducing a deterministic auxiliary process defined forward in time, we formulate an alternative time-consistent problem…