相关论文: Optimal Consumption under a Habit-Formation Constr…

A problem of optimal debt management is modeled as a noncooperative game between a borrower and a pool of lenders, in infinite time horizon with exponential discount. The yearly income of the borrower is governed by a stochastic process.…

We consider the robust exponential utility maximization problem in discrete time: An investor maximizes the worst case expected exponential utility with respect to a family of nondominated probabilistic models of her endowment by…

We define an online learning and optimization problem with discrete and irreversible decisions contributing toward a coverage target. In each period, a decision-maker selects facilities to open, receives information on the success of each…

We consider an optimal investment and consumption problem for a Black-Scholes financial market with stochastic coefficients driven by a diffusion process. We assume that an agent makes consumption and investment decisions based on CRRA…

We study optimal portfolio choice under Epstein-Zin recursive utility in the presence of general leverage constraints. We first establish that the optimal value function is the unique viscosity solution to the associated…

An agent choosing between various actions tends to take the one with the lowest cost. But this choice is arguably too rigid (not adaptive) to be useful in complex situations, e.g., where exploration-exploitation trade-off is relevant in…

We study the infinite-horizon restless bandit problem with the average reward criterion, in both discrete-time and continuous-time settings. A fundamental goal is to efficiently compute policies that achieve a diminishing optimality gap as…

This paper investigates the social optimum for a dynamic linear quadratic collective choice problem where a group of agents choose among multiple alternatives or destinations. The agents' common objective is to minimize the average cost of…

A perfectly rational decision-maker chooses the best action with the highest utility gain from a set of possible actions. The optimality principles that describe such decision processes do not take into account the computational costs of…

We study an optimal consumption and investment problem in a possibly incomplete market with general, not necessarily convex, stochastic constraints. We give explicit solutions for investors with exponential, logarithmic and power utility.…

When deploying artificial agents in real-world environments where they interact with humans, it is crucial that their behavior is aligned with the values, social norms or other requirements of that environment. However, many environments…

The goal of a sequential decision making problem is to design an interactive policy that adaptively selects a group of items, each selection is based on the feedback from the past, in order to maximize the expected utility of selected…

The nexus between debt and inequality has attracted considerable scholarly attention in the wake of the global financial crisis. One prominent candidate to explain the striking co-evolution of income inequality and private debt in this…

Assuming that agents' preferences satisfy first-order stochastic dominance, we show how the Expected Utility paradigm can rationalize all optimal investment choices: the optimal investment strategy in any behavioral law-invariant…

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,…

A purely state-dependent cost function can be modified by introducing a control-dependent term rewarding submaximal control utilization. A moderation incentive is identically zero on the boundary of the admissible control region and…

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…

This paper studies a finite-fuel two-dimensional degenerate singular stochastic control problem under regime switching that is motivated by the optimal irreversible extraction problem of an exhaustible commodity. A company extracts a…

The problem of designing a profit-maximizing, Bayesian incentive compatible and individually rational mechanism with flexible consumers and costly heterogeneous supply is considered. In our setup, each consumer is associated with a…

We constructively prove the existence of time-discrete consumption processes for stochastic money accounts that fulfill a pre-specified positively homogeneous projection property (PHPP) and let the account always be positive and exactly…