Related papers: Optimal Savings with Preference for Wealth
We consider an insurance company modelling its surplus process by a Brownian motion with drift. Our target is to maximise the expected exponential utility of discounted dividend payments, given that the dividend rates are bounded by some…
Consider an agent taking two successive decisions to maximize his expected utility under uncertainty. After his first decision, a signal is revealed that provides information about the state of nature. The observation of the signal allows…
We study maximum-likelihood-type estimation for diffusion processes when the coefficients are nonrandom and observation occurs in nonsynchronous manner. The problem of nonsynchronous observations is important when we consider the analysis…
We consider the problem of learning from revealed preferences in an online setting. In our framework, each period a consumer buys an optimal bundle of goods from a merchant according to her (linear) utility function and current prices,…
This paper investigates a novel behavioral feature of recursive preferences: aversion to risks that persist over time, or simply \textit{correlation aversion}. Greater persistence provides information about future consumption but reduces…
The Random Utility Model (RUM) is the gold standard in describing the behavior of a population of consumers. The RUM operates under the assumption of transitivity in consumers' preference relationships, but the empirical literature has…
We consider the problem of optimal investment with intermediate consumption in a general semimartingale model of an incomplete market, with preferences being represented by a utility stochastic field. We show that the key conclusions of the…
We study an optimal stopping problem with an unbounded, time-dependent and discontinuous reward function. This problem is motivated by the pricing of a variable annuity contract with guaranteed minimum maturity benefit, under the assumption…
Consumption practices are determined by a combination of economic, social, and cultural forces. We posit that lower economic constraints leave more room to diversify consumption along cultural and social aspects in the form of omnivorous or…
We consider a stochastic game-theoretic model of an investment market in continuous time with short-lived assets and study strategies, called survival, which guarantee that the relative wealth of an investor who uses such a strategy remains…
We develop a statistical framework for wealth allocation in which agents hold discrete units of wealth and macrostates are defined by how wealth is distributed across agents. The structure of the economic state space is characterized…
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…
We pursue an inverse approach to utility theory and consumption & investment problems. Instead of specifying an agent's utility function and deriving her actions, we assume we observe her actions (i.e. her consumption and investment…
We provide general conditions ensuring that the value functions of some nonlinear stopping problems with finite horizon converge to the value functions of the corresponding problems with infinite horizon. Our result can be formulated as…
A utility function has been proposed that values more those lives that are saved by not imposing a harmful treatment and values less those lives that could be saved by treating people who would otherwise die. I do not dispute the ethical…
Economic Model Predictive Control has recently gained popularity due to its ability to directly optimize a given performance criterion, while enforcing constraint satisfaction for nonlinear systems. Recent research has developed both…
We review some aspects, especially those we can tackle analytically, of a minimal model of closed economy analogous to the kinetic theory model of ideal gases where the agents exchange wealth amongst themselves such that the total wealth is…
We establish a rigorous duality theory, under No Unbounded Profit with Bounded Risk, for an infinite horizon problem of optimal consumption in the presence of an income stream that can terminate randomly at an exponentially distributed…
Ergodicity economics is a new branch of economic theory that notes the conceptual difference between time averages and expectation values, which coincide only for ergodic observables. It postulates that individual agents maximise the time…
The optimum quality that can be asymptotically achieved in the estimation of a probability p using inverse binomial sampling is addressed. A general definition of quality is used in terms of the risk associated with a loss function that…