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

Human behavioural patterns exhibit selfish or competitive, as well as selfless or altruistic tendencies, both of which have demonstrable effects on human social and economic activity. In behavioural economics, such effects have…

We consider a sequential decision-making problem where an agent can take one action at a time and each action has a stochastic temporal extent, i.e., a new action cannot be taken until the previous one is finished. Upon completion, the…

Economic-wise, a common goal for companies conducting marketing is to maximize the return revenue/profit by utilizing the various effective marketing strategies. Consumer behavior is crucially important in economy and targeted marketing, in…

We study the portfolio selection problem of a long-run investor who is maximising the asymptotic growth rate of her expected utility. We show that, somewhat surprisingly, it is essentially not affected by introduction of a floor constraint…

In this paper, we study the constrained stochastic submodular maximization problem with state-dependent costs. The input of our problem is a set of items whose states (i.e., the marginal contribution and the cost of an item) are drawn from…

In this paper we consider the problem of learning the optimal policy for uncontrolled restless bandit problems. In an uncontrolled restless bandit problem, there is a finite set of arms, each of which when pulled yields a positive reward.…

We introduce an extension to Merton's famous continuous time model of optimal consumption and investment, in the spirit of previous works by Pliska and Ye, to allow for a wage earner to have a random lifetime and to use a portion of the…

This article concerns the optimal choice of flat taxes on labor and capital income, and on consumption, in a tractable economic model in which agents are subject to idiosyncratic investment risk. We identify the tax rates which maximize…

We investigate activities that have different periods of duration. We define the profit intensity as a measure of this economic category. The profit intensity in a repeated trading has a unique property of attaining its maximum at a fixed…

We consider a selfish variant of the knapsack problem. In our version, the items are owned by agents, and each agent can misrepresent the set of items she owns---either by avoiding reporting some of them (understating), or by reporting…

We prove that the consumption functions in optimal savings problems are asymptotically linear if the marginal utility is regularly varying. We also analytically characterize the asymptotic marginal propensities to consume (MPCs) out of…

Consumer agency in the digital age is increasingly constrained by systemic barriers and algorithmic manipulation, raising concerns about the authenticity of consumption choices. Nowadays, financial decisions are shaped by external pressures…

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…

We consider the problem of designing an expected-revenue maximizing mechanism for allocating multiple non-perishable goods of $k$ varieties to flexible consumers over $T$ time steps. In our model, a random number of goods of each variety…

This paper investigates a stochastic inventory management problem in which a cash-constrained small retailer periodically purchases a product from suppliers and sells it to a market while facing non-stationary demands. In each period, the…

We consider an individual or household endowed with an initial capital and an income, modeled as a deterministic process with a continuous drift rate. At first, we model the discounting rate as the price of a zero-coupon bond at zero under…

We develop a model selection approach to tackle reinforcement learning with adversarial corruption in both transition and reward. For finite-horizon tabular MDPs, without prior knowledge on the total amount of corruption, our algorithm…

We address the problem of maximizing Gain from Trade (GFT) in repeated buyer-seller exchanges subject to global budget balance constraints. While this problem is well-understood in purely adversarial and stochastic settings, these…

A rational behavior of a consumer is analyzed when the user participates in a Peak Time Rebate (PTR) mechanism, which is a demand response (DR) incentive program based on a baseline. A multi-stage stochastic programming is proposed from the…

We consider optimal stopping problems, in which a sequence of independent random variables is drawn from a known continuous density. The objective of such problems is to find a procedure which maximizes the expected reward; this is often…