Related papers: Optimal Investment under the Influence of Decision…
In financial markets, agents often mutually influence each other's investment strategies and adjust their strategies to align with others. However, there is limited quantitative study of agents' investment strategies in such scenarios. In…
This paper presents a framework of imitating the principal investor's behavior for optimal pricing and hedging options. We construct a non-deterministic Markov decision process for modeling stock price change driven by the principal…
In this paper, we study the optimal investment problem considering the herd behaviour between two agents, including one leading expert and one following agent whose decisions are influenced by those of the leading expert. In the objective…
The main objective of this paper is to develop a martingale-type solution to optimal consumption--investment choice problems ([Merton, 1969] and [Merton, 1971]) under time-varying incomplete preferences driven by externalities such as…
Investment herding, a phenomenon where households mimic the decisions of others rather than relying on their own analysis, has significant effects on financial markets and household behavior. Excessive investment herding may reduce…
Decisions taken in our everyday lives are based on a wide variety of information so it is generally very difficult to assess what are the strategies that guide us. Stock market therefore provides a rich environment to study how people take…
We study a practical optimization problems for venture capital investments and/or Research and Development (R&D) investments. The first problem is that, given the amount of the initial investment and the reward function at the initial…
Complex planning and scheduling problems have long been solved using various optimization or heuristic approaches. In recent years, imitation learning that aims to learn from expert demonstrations has been proposed as a viable alternative…
Imitation learning enables robots to learn from demonstrations. Previous imitation learning algorithms usually assume access to optimal expert demonstrations. However, in many real-world applications, this assumption is limiting. Most…
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…
Traditional statistical estimation, or statistical inference in general, is static, in the sense that the estimate of the quantity of interest does not change the future evolution of the quantity. In some sequential estimation problems…
Imitation learning is a control design paradigm that seeks to learn a control policy reproducing demonstrations from expert agents. By substituting expert demonstrations for optimal behaviours, the same paradigm leads to the design of…
We consider an irreversible investment problem under incomplete information, where the investor decides whether and when to make investments in a project. Upon investment, the investor acquires previously hidden information from the…
The portfolio optimization problem in which the variances of the return rates of assets are not identical is analyzed in this paper using the methodology of statistical mechanical informatics, specifically, replica analysis. We define two…
We provide easily verifiable conditions for the well-posedness of the optimal investment problem for a behavioral investor in an incomplete discrete-time multiperiod financial market model, for the first time in the literature. Under two…
We study the problem of choosing optimal policy rules in uncertain environments using models that may be incomplete and/or partially identified. We consider a policymaker who wishes to choose a policy to maximize a particular counterfactual…
This study investigates an optimal consumption--investment problem in which the unobserved stock trend is modulated by a hidden Markov chain that represents different economic regimes. In the classical approach, the hidden state is…
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…
This paper studies the optimal investment problem with random endowment in an inventory-based price impact model with competitive market makers. Our goal is to analyze how price impact affects optimal policies, as well as both pricing rules…
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…