Related papers: Optimal Consumption for Recursive Preferences with…
An optimal control problem in the space of Borel measures governed by the Poisson equation is investigated. The characteristic feature of the problem under consideration is the Tikhonov regularization term in form of the transportation…
We consider planning longitudinal covariate measurements in follow-up studies where covariates are time-varying. We assume that the entire cohort cannot be selected for longitudinal measurements due to financial limitations and study how a…
In this paper, we consider how to construct the optimal solutions for a general discrete time infinite horizon optimal control problem. We establish necessary and sufficient conditions for optimality in the sense of a modified optimality…
This paper investigates optimal consumption in the stochastic Ramsey problem with the Cobb-Douglas production function. Contrary to prior studies, we allow for general consumption processes, without any a priori boundedness constraint. A…
This paper solves the consumption-investment problem under Epstein-Zin preferences on a random horizon. In an incomplete market, we take the random horizon to be a stopping time adapted to the market filtration, generated by all observable,…
The paper suggests a new --- to the best of the author's knowledge --- characterization of decisions which are optimal in the multi-objective optimization problem with respect to a definite proper preference cone, a Euclidean cone with a…
A family of models of individual discrete choice are constructed by means of statistical averaging of choices made by a subject in a reinforcement learning process, where the subject has short, k-term memory span. The choice probabilities…
In this paper, we study an intertemporal utility maximization problem in which an investor chooses consumption and portfolio strategies in the presence of a stochastic factor and a no-borrowing constraint. In the spirit of the Kim-Omberg…
Discontinuities can be fairly arbitrary but also cause a significant impact on outcomes in larger systems. Indeed, their arbitrariness is why they have been used to infer causal relationships among variables in numerous settings. Regression…
This paper studies the continuous time utility maximization problem on consumption with addictive habit formation in incomplete semimartingale markets. Introducing the set of auxiliary state processes and the modified dual space, we embed…
Consider a customer who needs to fulfill a shopping list, and also a personal shopper who is willing to buy and resell to customers the goods in their shopping lists. It is in the personal shopper's best interest to find (shopping) routes…
In this paper, we consider an adaptive approach to address optimization problems with uncertain cost parameters. Here, the decision maker selects an initial decision, observes the realization of the uncertain cost parameters, and then is…
We consider the problem of optimal investment with intermediate consumption in a general semimartingale model of an incomplete market, with preferences being represented by a utility stochastic field. We show that the key conclusions of the…
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…
We prove the existence of optimal strategies for agents with cumulative prospect theory preferences who trade in a continuous-time illiquid market, transcending known results which pertained only to risk-averse utility maximizers. The…
This paper concerns the recursive utility maximization problem under partial information. We first transform our problem under partial information into the one under full information. When the generator of the recursive utility is concave,…
This paper studies a search problem where a consumer is initially aware of only a few products. At every point in time, the consumer then decides between searching among alternatives he is already aware of and discovering more products. I…
We consider the problem of a firm seeking to use personalized pricing to sell an exogenously given stock of a product over a finite selling horizon to different consumer types. We assume that the type of an arriving consumer can be observed…
Model predictive control solves a constrained optimization problem online in order to compute an implicit closed-loop control policy. Recursive feasibility -- guaranteeing that the optimal control problem will have a solution at every time…
We formulate and solve a deterministic optimal consumption problem to maximize the discounted CRRA utility of an individual's consumption-to-habit process assuming she only invests in a riskless market and that she is unwilling to consume…