Related papers: Utility Maximization Under Endogenous Uncertainty
This paper investigates the optimal harvesting strategy for a single species living in random environments whose growth is given by a regime-switching diffusion. Harvesting acts as a (stochastic) control on the size of the population. The…
A central problem in uncertainty quantification is how to characterize the impact that our incomplete knowledge about models has on the predictions we make from them. This question naturally lends itself to a probabilistic formulation, by…
We investigate approximately optimal mechanisms in settings where bidders' utility functions are non-linear; specifically, convex, with respect to payments (such settings arise, for instance, in procurement auctions for energy). We provide…
We adress the maximization problem of expected utility from terminal wealth. The special feature of this paper is that we consider a financial market where the price process of risky assets can have a default time. Using dynamic…
Within the framework of the cumulative prospective theory of Kahneman and Tversky, this paper considers a continuous-time behavioral portfolio selection problem whose model includes both running and terminal terms in the objective…
We consider a utility-maximization problem in a general semimartingale financial model, subject to constraints on the number of shares held in each risky asset. These constraints are modeled by predictable convex-set-valued processes whose…
Consider a species whose population density solves the steady diffusive logistic equation in a heterogeneous environment modeled with the help of a spatially non constant coefficient standing for a resources distribution in a given box. We…
Many applications in preference learning assume that decisions come from the maximization of a stable utility function. Yet a large experimental literature shows that individual choices and judgements can be affected by "irrelevant" aspects…
In this paper a class of optimization problems with uncertain linear constraints is discussed. It is assumed that the constraint coefficients are random vectors whose probability distributions are only partially known. Possibility theory is…
The most commonly accepted model for investors' preferences is expected utility theory. More recently, other theories have emerged and pose new challenges to mathematics. The present paper treats preferences of cumulative prospect theory…
This article describes a model and an exact solution method for facility location problems with decision-dependent uncertainties. The model allows characterizing the probability distribution of the random elements as a function of the…
We obtain a necessary and sufficient condition under which random-coefficient discrete choice models, such as mixed-logit models, are rich enough to approximate any nonparametric random utility models arbitrarily well across choice sets.…
We consider the problem of designing an expected-revenue maximizing mechanism for allocating multiple non-perishable goods of $k$ varieties to flexible consumers over $T$ time steps. In our model, a random number of goods of each variety…
This memoir presents a systematic study of the utility maximization problem of an investor in a constrained and unbounded financial market. Building upon the work of Hu et al. (2005) [Ann. Appl. Probab., 15, 1691--1712] in a bounded…
The ranking and selection problem is a popular framework in the simulation literature for studying optimal information collection. We study a version of this problem in which the simulation output for each design is normally distributed…
Random utility theory models an agent's preferences on alternatives by drawing a real-valued score on each alternative (typically independently) from a parameterized distribution, and then ranking the alternatives according to scores. A…
In this paper we find tight sufficient conditions for the continuity of the value of the utility maximization problem from terminal wealth with respect to the convergence in distribution of the underlying processes. We also establish a weak…
The coordinated and efficient distribution of limited resources by individual decisions is a fundamental, unsolved problem. When individuals compete for road capacities, time, space, money, goods, etc., they normally make decisions based on…
We propose and study properties of maximum likelihood estimators in the class of conditional transformation models. Based on a suitable explicit parameterisation of the unconditional or conditional transformation function, we establish a…
We provide a detailed characterization of the optimal consumption stream for the additive habit-forming utility maximization problem, in a framework of general discrete-time incomplete markets and random endowments. This characterization…