Related papers: Optimal longevity of a dynasty
We give a definitive treatment of duality for optimal consumption over the infinite horizon, in a semimartingale incomplete market satisfying no unbounded profit with bounded risk (NUPBR). Rather than base the dual domain on (local)…
We provide investment advice for an individual who wishes to minimize her lifetime poverty, with a penalty for bankruptcy or ruin. We measure poverty via a non-negative, non-increasing function of (running) wealth. Thus, the lower wealth…
Low total fertility rates throughout the world have lead to concerns about economic growth, military security, international political power, environment impacts, and quality of life. Overall total fertility rates of today's societies are…
We provide a complete characterization of optimal extinction in a two-sector model of economic growth through three results, surprising in both their simplicity and intricacy. (i) When the discount factor is below a threshold identified by…
We propose a new method in indefinite-horizon settings for estimating optimal dynamic treatment regimes for time-to-event outcomes. This method allows patients to have different numbers of treatment stages and is constructed using…
Infinite population models are important tools for studying population dynamics of evolutionary algorithms. They describe how the distributions of populations change between consecutive generations. In general, infinite population models…
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 consider a population of identical individuals preying on an exhaustible resource. The individuals in the population choose a strategy that defines how they use their available time over the course of their life for feeding, for…
In the context of a large class of stochastic processes used to describe the dynamics of wealth growth, we prove a set of inequalities establishing necessary and sufficient conditions in order to avoid infinite wealth concentration. These…
Operational decisions in healthcare, logistics, and public policy increasingly involve algorithms that recommend candidate solutions, such as treatment plans, delivery routes, or policy options, while leaving the final choice to human…
In this paper, we undertake an investigation into the utility maximization problem faced by an economic agent who possesses the option to switch jobs, within a scenario featuring the presence of a mandatory retirement date. The agent needs…
We develop a continuous-time general equilibrium framework for economies with a heterogeneous population -- modeled as a continuum -- that repeatedly optimizes over short horizons under relative-income (Duesenberry-type) criteria. The…
In this paper we extend the stability results of [4]}. Our utility maximization problem is defined as an essential supremum of conditional expectations of the terminal values of wealth processes, conditioned on the filtration at the…
We determine the optimal investment strategy of an individual who targets a given rate of consumption and who seeks to minimize the probability of going bankrupt before she dies, also known as {\it lifetime ruin}. We impose two types of…
In this paper, we consider the problem of pollution control in a system that undergoes regular regime shifts. We first show that the optimal policy of pollution abatement is periodic as well, and is described by the unique hybrid limit…
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…
Standard macroeconomic models assume that households are rational in the sense that they are perfect utility maximizers, and explain economic dynamics in terms of shocks that drive the economy away from the stead-state. Here we build on a…
In business, politics and life, folk wisdom encourages people to aim for above-average results, but to not let the perfect be the enemy of the good. Here, we mathematically formalize and extend this folk wisdom. We model a time-limited…
We consider the optimal allocation of generic resources among multiple generic entities of interest over a finite planning horizon, where each entity generates stochastic returns as a function of its resource allocation during each period.…
Universal and rigorously derived concept of dynamic complexit (physics/9806002) shows that any system of interacting components, including society and civilisation, exists only as a process of highly inhomogeneous, qualitative development…