ﻻ يوجد ملخص باللغة العربية
We investigate the growth optimal strategy over a finite time horizon for a stock and bond portfolio in an analytically solvable multiplicative Markovian market model. We show that the optimal strategy consists in holding the amount of capital invested in stocks within an interval around an ideal optimal investment. The size of the holding interval is determined by the intensity of the transaction costs and the time horizon.
We present a simple paradigm for detection of an immobile target by a space-time coupled random walker with a finite lifetime. The motion of the walker is characterized by linear displacements at a fixed speed and exponentially distributed duration,
This paper studies the retirement decision, optimal investment and consumption strategies under habit persistence for an agent with the opportunity to design the retirement time. The optimization problem is formulated as an interconnected optimal sto
In this paper, we investigate dynamic optimization problems featuring both stochastic control and optimal stopping in a finite time horizon. The paper aims to develop new methodologies, which are significantly different from those of mixed dynamic op
In this paper, we study an irreversible investment problem under Knightian uncertainty. In a general framework, in which Knightian uncertainty is modeled through a set of multiple priors, we prove existence and uniqueness of the optimal investment pl
In this paper,we study the individuals optimal retirement time and optimal consumption under habitual persistence. Because the individual feels equally satisfied with a lower habitual level and is more reluctant to change the habitual level after ret