Related papers: S-shaped Utility Maximization with VaR Constraint …

We consider a discrete time financial market with proportional transaction costs under model uncertainty, and study a num\'eraire-based semi-static utility maximization problem with an exponential utility preference. The randomization…

This work takes up the challenges of utility maximization problem when the market is indivisible and the transaction costs are included. First there is a so-called solvency region given by the minimum margin requirement in the problem…

Optimization problems with convex quadratic cost and polyhedral constraints are ubiquitous in signal processing, automatic control and decision-making. We consider here an enlarged problem class that allows to encode logical conditions and…

We establish the existence and characterization of a primal and a dual facelift - discontinuity of the value function at the terminal time - for utility-maximization in incomplete semimartingale-driven financial markets. Unlike in the…

This paper is devoted to study the effects arising from imposing a value-at-risk (VaR) constraint in mean-variance portfolio selection problem for an investor who receives a stochastic cash flow which he/she must then invest in a…

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…

The entropic value-at-risk (EVaR) is a new coherent risk measure, which is an upper bound for both the value-at-risk (VaR) and conditional value-at-risk (CVaR). As important properties, the EVaR is strongly monotone over its domain and…

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 considers the optimization-based traffic allocation problem among multiple end points in connectionless networks. The network utility function is modeled as a non-concave function, since it is the best description of the quality…

In structured output learning, obtaining labelled data for real-world applications is usually costly, while unlabelled examples are available in abundance. Semi-supervised structured classification has been developed to handle large amounts…

Semi-Infinite Programming (SIP) has emerged as a powerful framework for modeling problems with infinite constraints, however, its theoretical development in the context of nonconvex and large-scale optimization remains limited. In this…

In this paper we study a robust utility maximization problem in continuous time under model uncertainty. The model uncertainty is governed by a continuous semimartingale with uncertain local characteristics. Here, the differential…

Bayesian optimization has attracted huge attention from diverse research areas in science and engineering, since it is capable of efficiently finding a global optimum of an expensive-to-evaluate black-box function. In general, a…

We introduce a linear space of finitely additive measures to treat the problem of optimal expected utility from consumption under a stochastic clock and an unbounded random endowment process. In this way we establish existence and…

For many real-world decision-making problems subject to uncertainty, it may be essential to deal with multiple and often conflicting objectives while taking the decision-makers' risk preferences into account. Conditional value-at-risk…

We study a robust portfolio optimization problem under model uncertainty for an investor with logarithmic or power utility. The uncertainty is specified by a set of possible L\'evy triplets; that is, possible instantaneous drift, volatility…

In electricity markets, customers are increasingly constrained by their budgets. A budget constraint for a user is an upper bound on the price multiplied by the quantity. However, since prices are determined by the market equilibrium, the…

We examine the issue of sensitivity with respect to model parameters for the problem of utility maximization from final wealth in an incomplete Samuelson model and mainly, but not exclusively, for utility functions of positive power-type.…

We consider the problem of maximizing expected utility from consumption in a constrained incomplete semimartingale market with a random endowment process, and establish a general existence and uniqueness result using techniques from convex…

Stochastic convex optimization problems with nonlinear functional constraints are ubiquitous in signal processing applications including constrained least-squares, set-membership adaptive filtering, and trajectory optimization under…