相关论文: On Optimal Retirement (How to Retire Early)

This study considers an optimal reinsurance, investment, and dividend strategy control problem for insurance companies in a regulated Markov regime-switching environment, intending to maximize long-run average reward. Unlike existing single…

The following optimization problem is considered. For a linear vector Ito equation. it is required to find an optimal deterministic control vector which minimizes a quadratic the functional. A necessary and sufficient condition for the…

Model Predictive Control has emerged as a popular tool for robots to generate complex motions. However, the real-time requirement has limited the use of hard constraints and large preview horizons, which are necessary to ensure safety and…

We consider the variational discretization of a linear-quadratic optimal control problem with pointwise control and state constraints. In order to allow for a Fr\'echet smooth norm, the problem is reformulated by means of a reflexive…

Motivated by the current global high inflation scenario, we aim to discover a dynamic multi-period allocation strategy to optimally outperform a passive benchmark while adhering to a bounded leverage limit. To this end, we formulate an…

We introduce and discuss optimal control strategies for kinetic models for wealth distribution in a simple market economy, acting to minimize the variance of the wealth density among the population. Our analysis is based on a finite time…

In this paper, we derive explicit closed-form solutions for the value function and the associated optimal stopping boundaries in an optimal annuitization problem under a mortality shock. We consider an individual whose retirement wealth is…

This paper is concerned with an optimal stock selling rule under a Markov chain model. The objective is to find an optimal stopping time to sell the stock so as to maximize an expected return. Solutions to the associated variational…

This paper shows that the optimal policy and value functions of a Markov Decision Process (MDP), either discounted or not, can be captured by a finite-horizon undiscounted Optimal Control Problem (OCP), even if based on an inexact model.…

Pricing financial or real options with arbitrary payoffs in regime-switching models is an important problem in finance. Mathematically, it is to solve, under certain standard assumptions, a general form of optimal stopping problems in…

We propose a novel method to improve estimation of asset returns for portfolio optimization. This approach first performs a monthly directional market forecast using an online decision tree. The decision tree is trained on a novel set of…

In many important applications of precision medicine, the outcome of interest is time to an event (e.g., death, relapse of disease) and the primary goal is to identify the optimal individualized decision rule (IDR) to prolong survival time.…

In this article, we consider the deterministic impulsively controlled system with infinite horizon and several discounted objective functionals. The constructed optimal control problem with functional constraints is reformulated as a Markov…

We consider the classical question of predicting binary sequences and study the {\em optimal} algorithms for obtaining the best possible regret and payoff functions for this problem. The question turns out to be also equivalent to the…

In this paper we derive the exact solution of the multi-period portfolio choice problem for an exponential utility function under return predictability. It is assumed that the asset returns depend on predictable variables and that the joint…

Trailing stop is a popular stop-loss trading strategy by which the investor will sell the asset once its price experiences a pre-specified percentage drawdown. In this paper, we study the problem of timing buy and then sell an asset subject…

In this paper, we construct a solution to the optimal contract problem for delegated portfolio management of the fist-best (risk-sharing) type. The novelty of our result is (i) in the robustness of the optimal contract with respect to…

We propose martingale consumption as a natural, desirable consumption pattern for any given (proportional) investment strategy. The idea is to always adjust current consumption so as to achieve level expected future consumption under the…

The minimization of energy-like cost functionals is addressed in the context of optimal control problems. For a general class of dynamical systems, with possibly unstable and nonlinear free dynamics, it is shown that a sequence of solutions…

We study the optimal investment stopping problem in both continuous and discrete case, where the investor needs to choose the optimal trading strategy and optimal stopping time concurrently to maximize the expected utility of terminal…