Related papers: Utility Maximization Under Endogenous Uncertainty
Causal inference from observational data provides strong evidence for the best action in decision-making without performing expensive randomized trials. The effect of an action is usually not identifiable under unobserved confounding, even…
We study a problem of utility maximization under model uncertainty with information including jumps. We prove first that the value process of the robust stochastic control problem is described by the solution of a quadratic-exponential…
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…
We consider the problem of maximizing expected utility from terminal wealth in models with stochastic factors. Using martingale methods and a conditioning argument, we determine the optimal strategy for power utility under the assumption…
We consider the problem of decision-making with side information and unbounded loss functions. Inspired by probably approximately correct learning model, we use a slightly different model that incorporates the notion of side information in…
In cases of uncertainty, a multi-class classifier preferably returns a set of candidate classes instead of predicting a single class label with little guarantee. More precisely, the classifier should strive for an optimal balance between…
Given data on the choices made by consumers for different offer sets, a key challenge is to develop parsimonious models that describe and predict consumer choice behavior while being amenable to prescriptive tasks such as pricing and…
This paper studies the approximation of optimal control policies by quantized (discretized) policies for a very general class of Markov decision processes (MDPs). The problem is motivated by applications in networked control systems,…
This paper studies a discrete-time version of the Lucas-Uzawa endogenous growth model with physical and human capital in the presence of externalities. Existence of an optimal equilibrium is proved using tools from dynamic programming with…
In this paper, we consider a continuous-time Markov decision process (CTMDP) in Borel spaces, where the certainty equivalent with respect to the exponential utility of the total undiscounted cost is to be minimized. The cost rate is…
Optimization under uncertainty deals with the problem of optimizing stochastic cost functions given some partial information on their inputs. These problems are extremely difficult to solve and yet pervade all areas of technological and…
The problem of determining the joint probability distributions for correlated random variables with pre-specified marginals is considered. When the joint distribution satisfying all the required conditions is not unique, the "most unbiased"…
We consider optimal mechanism design for the case with one buyer and two items. The buyer's valuations towards the two items are independent and additive. In this setting, optimal mechanism is unknown for general valuation distributions. We…
For a Markov decision process with countably infinite states, the optimal value may not be achievable in the set of stationary policies. In this paper, we study the existence conditions of an optimal stationary policy in a countable-state…
We study an optimal investment problem under default risk where related information such as loss or recovery at default is considered as an exogenous random mark added at default time. Two types of agents who have different levels of…
Dependence on the parameter is continuous when perturbations of the parameter preserves strict preference for one alternative over another. We characterise this property via a utility function over alternatives that depends continuously on…
In performative stochastic optimization, decisions can influence the distribution of random parameters, rendering the data-generating process itself decision-dependent. In practice, decision-makers rarely have access to the true…
This paper studies the properties of the optimal portfolio-consumption strategies in a {finite horizon} robust utility maximization framework with different borrowing and lending rates. In particular, we allow for constraints on both…
We consider the \mnk{classical} problem of a controller activating (or sampling) sequentially from a finite number of $N \geq 2$ populations, specified by unknown distributions. Over some time horizon, at each time $n = 1, 2, \ldots$, the…
We study arbitrage opportunities, market viability and utility maximization in market models with an insider. Assuming that an economic agent possesses from the beginning an additional information in the form of a random variable G, which…