Related papers: Non-concave utility maximization problem with tran…
This paper studies a loss-averse version of the multiplicative habit formation preference and the corresponding optimal investment and consumption strategies over an infinite horizon. The agent's consumption preference is depicted by a…
In this paper we explore optimal liquidation in a market populated by a number of heterogeneous market makers that have limited inventory-carrying and risk-bearing capacity. We derive a reduced form model for the dynamic of their aggregated…
We consider price competition among multiple sellers over a selling horizon of $T$ periods. In each period, sellers simultaneously offer their prices (which are made public) and subsequently observe their respective demand (not made…
This paper studies the topic of cost-efficiency in incomplete markets. A payoff is called cost-efficient if it achieves a given probability distribution at some given investment horizon with a minimum initial budget. Extensive literature…
According to the fundamental theorems of welfare economics, any competitive equilibrium is Pareto efficient. Unfortunately, competitive equilibrium prices only exist under strong assumptions such as perfectly divisible goods and convex…
In this paper, we consider a financial market with assets exposed to some risks inducing jumps in the asset prices, and which can still be traded after default times. We use a default-intensity modeling approach, and address in this…
We consider an arbitrage-free, discrete time and frictionless market. We prove that an investor maximising the expected utility of her terminal wealth can always find an optimal investment strategy provided that her dissatisfaction of…
We study power utility maximization for exponential L\'evy models with portfolio constraints, where utility is obtained from consumption and/or terminal wealth. For convex constraints, an explicit solution in terms of the L\'evy triplet is…
We solve an expected utility-maximization problem with a Value-at-risk constraint on the terminal portfolio value in an incomplete financial market due to stochastic volatility. To derive the optimal investment strategy, we use the dynamic…
We provide a new, much simplified and straightforward proof to a result of Pavlov [2011] regarding the revenue maximizing mechanism for selling two goods with uniformly i.i.d. valuations over intervals $[c,c+1]$, to an additive buyer. This…
Decision maker's preferences are often captured by some choice functions which are used to rank prospects. In this paper, we consider ambiguity in choice functions over a multi-attribute prospect space. Our main result is a robust…
In this paper, we study the problem of expected utility maximization of an agent who, in addition to an initial capital, receives random endowments at maturity. Contrary to previous studies, we treat as the variables of the optimization…
Consider a service system where incoming tasks are instantaneously dispatched to one out of many heterogeneous server pools. Associated with each server pool is a concave utility function which depends on the class of the server pool and…
For utility maximization problems under proportional transaction costs, it has been observed that the original market with transaction costs can sometimes be replaced by a frictionless "shadow market" that yields the same optimal strategy…
Existence of an increasing quasi-concave value function consistent with given preference information is an important issue in various fields including Economics, Multiple Criteria Decision Making, and Applied Mathematics. In this paper, we…
We consider a utility maximization problem for an investment-consumption portfolio when the current utility depends also on the wealth process. Such kind of problems arise, e.g., in portfolio optimization with random horizon or with random…
In this paper we report further progress towards a complete theory of state-independent expected utility maximization with semimartingale price processes for arbitrary utility function. Without any technical assumptions we establish a…
This paper studies a type of periodic utility maximization problems for portfolio management in incomplete stochastic factor models with convex trading constraints. The portfolio performance is periodically evaluated on the relative ratio…
Equivalences are known between problems of singular stochastic control (SSC) with convex performance criteria and related questions of optimal stopping, see for example Karatzas and Shreve [SIAM J. Control Optim. 22 (1984)]. The aim of this…
The paper studies the robust maximization of utility of terminal wealth in the diffusion financial market model. The underlying model consists with risky tradable asset, whose price is described by diffusion process with misspecified trend…