New algorithm tackles unknown utility network resource allocation.
problem Maximizing network utility with unknown agent utilities.
method Modeling as a bandit problem, proposing algorithms for resource allocation.
result Proposed algorithms are optimal when all agents have the same utility.
New method for fair resource allocation in AI-aware networks with unknown utility functions.
problem Fair resource allocation in AI-aware communication networks with unknown utility functions.
method Distributed, data-driven bilevel optimization approach to learn surrogate utility functions.
result The proposed algorithm learns from data to autotune surrogate utility functions for unknown utility functions.
Let F be a non-abelian finite rank free group, and let H_g be the fundamental group of a surface of genus g with one boundary component represented by D_g in H_g. So, H_g is the free group <a_1,b_1,...,a_g,b_g> and D_g is the product of commutators [a_1,b_1]...[a_g,b_g]. Given x in F, we are interested in the number nu…
Study robust utility maximization with uncertain continuous semimartingales.
problem Maximizing utility in continuous time under model uncertainty.
method Duality and conjugate problems for logarithmic, exponential, and power utilities.
result Existence of optimal portfolios for various utilities.
Study on hedging with delayed strategies for exponential utility maximization.
problem Maximizing exponential utility in semistatic hedging.
method Explicit computations for delayed semistatic hedging.
result Developed methods for hedging with delayed strategies.
Study utility maximization with costs, proving convergence and strategies.
problem Utility maximization with proportional transaction costs.
method Extended weak convergence theory and Meyer--Zheng topology.
result Prove convergence of utility maximization problems and optimal trading strategies.
Study utility maximization with random endowment and costs, proving duality and constructing shadow market.
problem Maximizing utility from terminal wealth with random endowment and transaction costs.
method Duality between primal and dual problems, using finitely additive measures, considering negative wealth.
result Proved duality results for utility functions supporting negative values, constructed shadow market.
Study robust utility maximization with uncertain endowments.
problem Optimal strategy under nondominated model uncertainty.
method General representation result, Choquet's capacitability theorem, medial limits.
result Existence of optimal strategy and dual representation for optimal utility.
Investor maximizes utility from an unknown claim using robust optimization.
problem Maximizing utility from an unknown contingent claim.
method Robust optimization with quantile formulation and variational inequalities.
result Optimal trading strategy and utility indifference price determined.
No arbitrage holds if a Pareto solution exists for vector-valued utility maximization.
problem Existence of no arbitrage in markets with transaction costs and multiple assets.
method Prove no arbitrage condition equivalent to Pareto solution for vector-valued utility maximization.
result A consistent price process can be constructed from the Pareto maximizer.
Study examines insider information's impact on arbitrage and utility maximization in financial portfolios.
problem Analyzing the relationship between insider information and arbitrage in financial portfolio optimization.
method Examines the utility maximization problem under different utility functions (logarithmic and CRRA) with and without no temporary-bankruptcy restriction, considering altered information flow.
result Insider information's value is bounded when arbitrage holds, and it does not always imply arbitrage.
Optimal strategies found for investors in markets with transaction costs.
problem Maximizing utility in markets with proportional transaction costs.
method Existence of optimal strategies proved under appropriate assumptions.
result Existence of optimal strategies for maximizing worst-case utility.
Solves utility maximization for delayed informed investors.
problem Maximizing utility in a discrete time framework with delayed information.
method Utilizes theory from [4] and optimal portfolio guessing.
result Solution for exponential utility maximization in a multivariate normal setting with delay.
The paper examines utility maximization in markets with hidden Gaussian drift, finding restrictions on model parameters.
problem Utility maximization problems in markets with hidden Gaussian drift mean-reverting processes.
method Derives sufficient conditions for bounded maximum expected utility of terminal wealth for models with full and partial information.
result Restrictions on model parameters for bounded maximum expected utility.
Solves utility maximization with uncertainty in drift and volatility.
problem Maximizing terminal wealth with uncertainty in stock drift and volatility.
method Explicit solutions for utility maximization under Knightian uncertainty.
result Solves robust optimization problems with various utility functions.
In this paper, we study a class of quadratic Backward Stochastic Differential Equations (BSDEs) which arises naturally when studying the problem of utility maximization with portfolio constraints. We first establish existence and uniqueness results for such BSDEs and then, we give an application to the utility maximiza…
Study utility maximization with transaction costs and random endowment using numéraire-based model.
problem Maximizing utility with transaction costs and random endowment.
method Numéraire-based model and convex duality.
result Established standard convex duality results under proportional transaction costs.
Investor optimizes worst case exponential utility in uncertain markets with unbounded endowments.
problem Maximizing worst case exponential utility in uncertain financial markets with unbounded endowments.
method Dynamic investment strategy and static option investment, using martingale measures and dual representation.
result Optimal strategy exists and convergence to robust superhedging price as risk aversion increases.
Paper studies utility maximization continuity under weak convergence.
problem Continuity of utility maximization value under weak convergence.
method Establishes sufficient conditions and weak convergence results.
result Computes minimal expected shortfall in the Heston model.
Study on robust utility maximization with nonconcave utility functions under projective determinacy.
problem Investor's optimal investment strategy under model ambiguity and nonconcave utility.
method Projective functions of the path and sets of priors, upper-semicontinuous utility.
result Existence of optimal investment strategy under PD.
The effectiveness of utility-maximization techniques for portfolio management relies on our ability to estimate correctly the parameters of the dynamics of the underlying financial assets. In the setting of complete or incomplete financial markets, we investigate whether small perturbations of the market coefficient pr…
Stability of the utility maximization problem with random endowment and indifference prices is studied for a sequence of financial markets in an incomplete Brownian setting. Our novelty lies in the nonequivalence of markets, in which the volatility of asset prices (as well as the drift) varies. Degeneracies arise from …
Study sensitivity of utility maximization to market changes.
problem Sensitivity of utility maximization to market price of risk changes.
method Obtained second-order expansion of value function, first-order terminal wealth approximation, constructed trading strategies, reduced approximation to Kunita-Watanabe decomposition.
result Reduced sensitivity analysis to a Kunita-Watanabe decomposition.
A note on utility maximization with costs, proving trading strategies.
problem Utility maximization with proportional transaction costs and stability of optimal portfolios.
method Proof of a limit theorem using a dual approach.
result Established a uniqueness result for optimal trading strategies.
New method proves utility maximization without dual problem, simplifying existing results.
problem Maximizing utility from terminal wealth in a continuous-time financial market.
method Utilizes recent Orlicz space theory to prove existence of optimal investment without dual problem.
result Existence of optimal investment strategy for non-smooth utilities and strict concavity.
The paper simplifies utility maximization problems using dynamic convex duality.
problem Constrained utility maximization problems.
method Formulating primal and dual problems, using FBSDEs, and characterizing optimal controls.
result Explicit dynamic characterization of optimal controls and wealth processes.
In this paper we study the linearizability problem for 3-webs on a 2-dimensional manifold. With an explicit computation based on the theory developed in the paper "On the linearizability of 3-webs" (Nonlinear analysis 47, (2001) pp. 2643-2654), we examine a 3-web whose linearizability was claimed in the same paper. We …
In the article "On the linearizability of 3-webs" (Nonlinear analysis 47, (2001) pp.2643-2654), published in 2001, we studied the linearizability problem for 3-webs on a 2-dimensional manifold. Four years after the publication of our article, V.V.Goldberg and V.V.Lychagin in the paper "On linearization of planar three-…
Study arbitrage and utility in insider markets, proving criteria and strategies.
problem Arbitrage opportunities and market viability in insider markets.
method Criteria for No Unbounded Profits with Bounded Risk, optimal arbitrage strategies, utility maximization proofs.
result Characterization of optimal strategies and duality results for utility maximization.
Study solves wealth maximization problem with unbounded mean and volatility.
problem Maximizing terminal wealth with unbounded mean and volatility under Knightian uncertainty.
method Solves utility maximization problem explicitly with Ornstein-Uhlenbeck and GARCH(1) processes.
result First work on unbounded mean and volatility with Knightian uncertainty and nondominated priors.
Investment and consumption strategy optimized under uncertain conditions.
problem Optimal investment and consumption under logarithmic utility and uncertainty model.
method Characterized using quadratic BSDE.
result Optimal solution found.
Study utility maximization with costs under uncertain models.
problem Maximizing utility in a market with transaction costs and model uncertainty.
method Transformed semi-static utility maximization problem on an enlarged space using randomization techniques and dynamic programming.
result Existence of optimal strategy and convex duality theorem proved.
In the large financial market, which is described by a model with countably many traded assets, we formulate the problem of the expected utility maximization. Assuming that the preferences of an economic agent are modeled with a stochastic utility and that the consumption occurs according to a stochastic clock, we obta…
Optimizes decision-making with variational Bayesian methods for continuous utilities.
problem Inference approximations for continuous utilities without full posterior knowledge.
method Automatic pipeline that co-opts continuous utilities into variational inference algorithms.
result Consistent improvement in decision-making when calibrating approximations for specific utilities.
The paper solves utility maximization under partial information using transformations and perturbation methods.
problem Maximizing recursive utility under partial information.
method Transforming to full information, using variational formulation, stochastic game approach, and terminal perturbation method.
result Explicit saddle points and optimal terminal wealth obtained.
Study utility maximization in financial markets with bounded and unbounded payoffs.
problem Utility maximization in financial markets with constraints and unbounded payoffs.
method Combines quadratic backward stochastic differential equations and convex duality.
result Established utility indifference valuation, regime switching, and consumption-investment problems in unbounded markets.
Closed-form optimal portfolios for exponential utility in small/large markets.
problem Optimal portfolios maximizing exponential utility in small/large financial markets.
method Closed-form expressions for optimal portfolios in small markets, convergence to large market optimal utility, numerical procedure for general utility functions.
result Optimal utility in large markets converges to optimal utility in small markets, requiring infinite diversification.
Optimizes portfolios using CPT utility via convex optimization.
problem Maximizing CPT utility in portfolio selection.
method Minorization-maximization (MM) algorithm and convex-concave (CC) procedure.
result Problems can be solved globally and efficiently.
Study utility maximization with delayed information in continuous time Gaussian markets.
problem Maximizing utility with delayed information in continuous time Gaussian markets.
method Purely probabilistic approach based on Radon-Nikodym derivatives of Gaussian measures.
result Solution for optimal control and value in a specific Gaussian framework.
The paper optimizes dynamic portfolios using utility maximization and risk measures.
problem Maximizing expected utility in dynamic stochastic portfolio optimization.
method Solves a dynamic stochastic portfolio optimization problem numerically using evolutionary Hamilton-Jacobi-Bellman equations and Riccati transformations.
result Defines and computes the Conditional Value-at-Risk deviation (CVaRD) based Sharpe ratio for risk-adjusted performance.
We consider the problem of maximizing expected utility from terminal wealth in models with stochastic factors. Using martingale methods and a conditioning argument, we determine the optimal strategy for power utility under the assumption that the increments of the asset price are independent conditionally on the factor…
The paper proposes methods to directly optimize complex classification metrics.
problem Handling class-imbalanced cases with non-decomposable metrics.
method Calibrated surrogate maximization of linear-fractional utility.
result Calibrated surrogate maximization can coincide with true utility maximization under certain conditions.
Optimal wealth strategy derived for jump-diffusion models with liabilities.
problem Maximizing utility in jump-diffusion models with random liabilities.
method Forward Backward SDEs system for optimal strategy.
result Explicit results for pure jump model and exponential utilities.
Optimizes trading in a market with a change point, considering risk and information constraints.
problem Maximizing utility in a financial market with a change point in parameters.
method Solves an optimization problem using martingale representation results for different filtrations.
result Calculates the utility indifference value for a specific utility function and risk measure.
We study the dual formulation of the utility maximization problem in incomplete markets when the utility function is finitely valued on the whole real line. We extend the existing results in this literature in two directions. First, we allow for nonsmooth utility functions, so as to include the shortfall minimization p…
Optimal insurance policy for exponential utility maximization with convex premium calculation.
problem Maximizing terminal wealth utility with exponential utility function and convex premium formula.
method Necessary condition for optimal indemnity, numerical algorithm to compute it, convergence proof.
result Numerical algorithm converges to unique optimal indemnity.
We give a general formulation of the utility maximization problem under nondominated model uncertainty in discrete time and show that an optimal portfolio exists for any utility function that is bounded from above. In the unbounded case, integrability conditions are needed as nonexistence may arise even if the value fu…
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 uniqueness for a large class of utility maximization problems including the classical one…