Related papers: Log-optimality with small liability stream
In this paper we derive novel change of variable formulas for stochastic integrals w.r.t. a time-changed Brownian motion where we assume that the time-change is a general increasing stochastic process with finitely many jumps in a bounded…
We consider the problem of utility maximization for investors with power utility functions. Building on the earlier work Larsen et al. (2016), we prove that the value of the problem is a Frechet-differentiable function of the drift of the…
We systematically introduce an approach to the analysis and (numerical) solution of a broad class of nonlinear unconstrained optimal control problems, involving ordinary and distributed systems. Our approach relies on exact representations…
We study parallel algorithms for the problem of maximizing a non-negative submodular function. Our main result is an algorithm that achieves a nearly-optimal $1/2 -\epsilon$ approximation using $O(\log(1/\epsilon) / \epsilon)$ parallel…
We develop extensions to auction theory results that are useful in real life scenarios. 1. Since valuations are generally positive we first develop approximations using the log-normal distribution. This would be useful for many finance…
In this paper, we consider the portfolio optimization problem in a financial market under a general utility function. Empirical results suggest that if a significant market fluctuation occurs, invested wealth tends to have a notable change…
We present an algorithm producing a dynamic non-self-financing hedging strategy in an incomplete market corresponding to investor-relevant risk criterion. The optimization is a two stage process that first determines admissible model…
This paper examines an optimal investment problem in a continuous-time (essentially) complete financial market with a finite horizon. We deal with an investor who behaves consistently with principles of Cumulative Prospect Theory, and whose…
We consider the economic problem of optimal consumption and investment with power utility. We study the optimal strategy as the relative risk aversion tends to infinity or to one. The convergence of the optimal consumption is obtained for…
We develop a regression based primal-dual martingale approach for solving finite time horizon MDPs with general state and action space. As a result, our method allows for the construction of tight upper and lower biased approximations of…
Long term optimal investment problems are studied in a factor model with matrix valued state variables. Explicit parameter restrictions are obtained under which, for an isoelastic investor, the finite horizon value function and optimal…
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…
We consider a discrete-time version of the popular optimal dividend pay-out problem in risk theory. The novel aspect of our approach is that we allow for a risk averse insurer, i.e., instead of maximising the expected discounted dividends…
We study a robust utility maximization problem in the case of an incomplete market and logarithmic utility with general stochastic constraints, not necessarily convex. Our problem is equivalent to maximizing of nonlinear expected…
We study finite-horizon optimal switching with discrete intervention dates on a general filtration, allowing continuous-time observations between decision dates, and develop a deep-learning-based dual framework with computable upper bounds.…
This paper investigates optimal trading strategies in a financial market with multidimensional stock returns where the drift is an unobservable multivariate Ornstein-Uhlenbeck process. Information about the drift is obtained by observing…
We consider a Markov chain approximation scheme for utility maximization problems in continuous time, which uses, in turn, a piecewise constant policy approximation, Euler-Maruyama time stepping, and a Gauss-Hermite approximation of the…
This paper demonstrates a practical method for computing the solution of an expectation-constrained robust maximization problem with immediate applications to model-free no-arbitrage bounds and super-replication values for many financial…
We consider a portfolio optimization problem in a defaultable market with finitely-many economical regimes, where the investor can dynamically allocate her wealth among a defaultable bond, a stock, and a money market account. The market…
We present a general framework for matching with transferable utility (TU) that accommodates arbitrary heterogeneity without relying on the logit structure. The optimal assignment problem is characterized by tractable linear programming…