Related papers: Utility Maximization in a jump market model
Peak Estimation aims to find the maximum value of a state function achieved by a dynamical system. This problem is non-convex when considering standard Barrier and Density methods for invariant sets, and has been treated heuristically by…
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…
In spite of the growing consideration for optimal execution in the financial mathematics literature, numerical approximations of optimal trading curves are almost never discussed. In this article, we present a numerical method to…
In this paper, we consider a multistage expected utility maximization problem where the decision maker's utility function at each stage depends on historical data and the information on the true utility function is incomplete. To mitigate…
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…
This article constructs a forward exponential utility in a market with multiple defaultable risks. Using the Jacod-Pham decomposition for random fields, we first characterize forward performance processes in a defaultable market under the…
This paper is concerned with a general maximum principle for the fully coupled forward-backward stochastic optimal control problem with jumps, where the control domain is not necessarily convex, within the progressively measurable…
This work deals with backward stochastic differential equation (BSDE) with random marked jumps, and their applications to default risk. We show that these BSDEs are linked with Brownian BSDEs through the decomposition of processes with…
We provide a verification and characterization result of optimal maximal sub-solutions of BSDEs in terms of fully coupled forward backward stochastic differential equations. We illustrate the application thereof in utility optimization with…
We consider an arbitrage-free, discrete time and frictionless market. We prove that an investor maximising the expected utility of her terminal wealth can always find an optimal investment strategy provided that her dissatisfaction of…
We address the Merton problem of maximizing the expected utility of terminal wealth using techniques from variational analysis. Under a general continuous semimartingale market model with stochastic parameters, we obtain a characterization…
One of the most celebrated results in mechanism design is Myerson's characterization of the revenue optimal auction for selling a single item. However, this result relies heavily on the assumption that buyers are indifferent to risk. In…
This paper studies the problem of optimal investment with CRRA (constant, relative risk aversion) preferences, subject to dynamic risk constraints on trading strategies. The market model considered is continuous in time and incomplete. the…
A drawdown constraint forces the current wealth to remain above a given function of its maximum to date. We consider the portfolio optimisation problem of maximising the long-term growth rate of the expected utility of wealth subject to a…
Submodular function maximization is a fundamental combinatorial optimization problem with plenty of applications -- including data summarization, influence maximization, and recommendation. In many of these problems, the goal is to find a…
In this paper, we study decentralized decision-making where agents optimize private objectives under incomplete information and imperfect public monitoring, in a non-cooperative setting. By shaping utilities-embedding shadow prices or…
Motivated by the trade-off between exploitation and exploration in reinforcement learning, we study a continuous-time entropy-regularized mean variance portfolio selection problem in the presence of jumps. We propose an exploratory SDE for…
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…
This paper studies the problem of maximizing expected utility from terminal wealth combining a static position in derivative securities, which we assume can be traded only at time zero, with a traditional dynamic trading strategy in stocks.…
Utility (e.g., sum-rate) maximization for multiantenna broadcast and interference channels (with one antenna at the receivers) is known to be in general a non-convex problem, if one limits the scope to linear (beamforming) strategies at…