A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Paper uses CVAE to simulate tariff impacts on electricity consumption.
This paper investigates optimal consumption in the stochastic Ramsey problem with the Cobb-Douglas production function. Contrary to prior studies, we allow for general consumption processes, without any a priori boundedness constraint. A non-standard stochastic differential equation, with neither Lipschitz continuity n…
Modeling dynamic user interests using neural matrix factorization.
We consider optimal consumption and portfolio choice in the presence of Knightian uncertainty in continuous-time. We embed the problem into the new framework of stochastic calculus for such settings, dealing in particular with the issue of non-equivalent multiple priors. We solve the problem completely by identifying t…
As the issue of freshwater shortage is increasing daily, it is critical to take effective measures for water conservation. According to previous studies, device level consumption could lead to significant freshwater conservation. Existing water disaggregation methods focus on learning the signatures for appliances; how…
PRCD-MAP learns to trust imperfect priors in causal discovery, improving accuracy and robustness.
Energy disaggregation in a non-intrusive way estimates appliance level electricity consumption from a single meter that measures the whole house electricity demand. Recently, with the ongoing increment of energy data, there are many data-driven deep learning architectures being applied to solve the non-intrusive energy…
Study optimal retirement time and consumption with habitual persistence.
Proposes a new consumption strategy based on martingale principles.
This paper solves the consumption-investment problem under Epstein-Zin preferences on a random horizon. In an incomplete market, we take the random horizon to be a stopping time adapted to the market filtration, generated by all observable, but not necessarily tradable, state processes. Contrary to prior studies, we do…
This paper analyzes popular time-nonseparable utility functions that describe "habit formation" consumer preferences comparing current consumption with the time averaged past consumption of the same individual and "catching up with the Joneses" (CuJ) models comparing individual consumption with a cross-sectional averag…
Deep Neural Networks (DNNs) are increasingly deployed in highly energy-constrained environments such as autonomous drones and wearable devices while at the same time must operate in real-time. Therefore, reducing the energy consumption has become a major design consideration in DNN training. This paper proposes the fir…
Develops effective adversarial attacks on probabilistic forecasting models.
Study optimal consumption for loss-averse agents considering past spending peaks.
Study many-player investment-consumption games with power FPPs, finding market-risk preference affects consumption.
Solves pair trading problem using consumption-investment theory.
Investor optimizes investment and consumption under uncertain market conditions with constraints.
The paper examines smoothness of value function in consumption-investment models with borrowing constraints.
Paper examines power consumption in neural networks using various activation functions.
A continuous-time consumption-investment model with constraint is considered for a small investor whose decisions are the consumption rate and the allocation of wealth to a risk-free and a risky asset with logarithmic Brownian motion fluctuations. The consumption rate is subject to an upper bound constraint which linea…
The paper analyzes optimal consumption with past spending maximum as a reference.
The paper solves a consumption-investment problem with state-dependent lower bounds.
Intertemporal model for cost-efficient consumption using copulas.
Study optimal consumption and investment strategies with constraints in a market with random coefficients.
In a recent work (Chattopadhyay, A. K. et al, Europhys. Lett. {\bf 91}, 58003, 2010) based on food consumption statistics, we showed how a stochastic agent based model could represent the time variation of the income distribution statistics in a developing economy, thereby defining an alternative \enquote{poverty index…
Investment herding can reduce household consumption, a phenomenon called crowding-out effect.
Study optimal consumption with relaxed benchmarks and drawdown constraints.
Electricity consumption has increased exponentially during the past few decades. This increase is heavily burdening the electricity distributors. Therefore, predicting the future demand for electricity consumption will provide an upper hand to the electricity distributor. Predicting electricity consumption requires man…
New algorithm for contextual bandits with linear constraints using regression.
The steel industry has great impacts on the economy and the environment of both developed and underdeveloped countries. The importance of this industry and these impacts have led many researchers to investigate the relationship between a country's steel consumption and its economic activity resulting in the so-called i…
Consider an agent taking two successive decisions to maximize his expected utility under uncertainty. After his first decision, a signal is revealed that provides information about the state of nature. The observation of the signal allows the decision-maker to revise his prior and the second decision is taken according…
New method identifies how platforms can influence consumer behavior.
The "standard" Merton formulation of optimal investment and consumption involves optimizing the integrated lifetime utility of consumption, suitably discounted, together with the discounted future bequest. In this formulation the utility of consumption at any given time depends only on the amount consumed at that time.…
Modeling consumption and investment decisions with reference point and drawdown constraints.
The paper analyzes investment and consumption strategies under uncertain market conditions.
This paper studies the properties of the optimal portfolio-consumption strategies in a {finite horizon} robust utility maximization framework with different borrowing and lending rates. In particular, we allow for constraints on both investment and consumption strategies, and model uncertainty on both drift and volatil…
Neural network predicts daily power consumption with high accuracy.
This paper solves optimal investment-consumption problems for a risk-averse agent with special utility.
In this article we solve the problem of maximizing the expected utility of future consumption and terminal wealth to determine the optimal pension or life-cycle fund strategy for a cohort of pension fund investors. The setup is strongly related to a DC pension plan where additionally (individual) consumption is taken i…
Optimal retirement timing and consumption under shortfall risk management
Optimal investment and consumption model with habit formation constraint.
This paper analyzes optimal consumption strategies for loss-averse investors with multiplicative habit formation.
This paper considers utility indifference valuation of derivatives under model uncertainty and trading constraints, where the utility is formulated as an additive stochastic differential utility of both intertemporal consumption and terminal wealth, and the uncertain prospects are ranked according to a multiple-priors …
We solve an optimal consumption problem with habit formation constraints.
Study optimal investment and consumption in incomplete markets with nonlinear expectations.
We assume that an agent's rate of consumption is {\it ratcheted}; that is, it forms a non-decreasing process. Given the rate of consumption, we act as financial advisers and find the optimal investment strategy for the agent who wishes to minimize his probability of ruin.
We investigate the hierarchical structures of countries based on electricity consumption and economic growth by using the real amounts of their consumption over a certain time period. We use of electricity consumption data to detect the topological properties of 60 countries from 1971 to 2008. These countries are divid…
Deep neural network optimizes retirement consumption in defined contribution pensions.