An expansion in the model space in the context of utility maximization
Sign Up to like & getrecommendations! Published in 2018 at "Finance and Stochastics"
DOI: 10.1007/s00780-017-0353-3
Abstract: In the framework of an incomplete financial market where the stock price dynamics are modeled by a continuous semimartingale (not necessarily Markovian), an explicit second-order expansion formula for the power investor’s value function—seen as a… read more here.
Keywords: expansion; context utility; utility maximization; model space ... See more keywords
On mean–variance analysis of a bank’s behavior
Sign Up to like & getrecommendations! Published in 2021 at "Finance Research Letters"
DOI: 10.1016/j.frl.2021.102292
Abstract: Abstract We consider the mean–variance utility maximization problem for banks. In particular, we consider the utility maximization problems of the portfolio return and accounting profit. Moreover, we consider balance sheet models for both conditions irrespective… read more here.
Keywords: utility maximization; bank behavior; balance sheet; mean variance ... See more keywords
Explicit solutions to utility maximization problems in a regime-switching market model via Laplace transforms
Sign Up to like & getrecommendations! Published in 2018 at "Nonlinear Analysis: Hybrid Systems"
DOI: 10.1016/j.nahs.2018.04.005
Abstract: We study the problem of utility maximization from terminal wealth in which an agent optimally builds her portfolio by investing in a bond and a risky asset. The asset price dynamics follow a diffusion process… read more here.
Keywords: regime switching; laplace; utility; utility maximization ... See more keywords
Robust utility maximization of terminal wealth with drift and volatility uncertainty
Sign Up to like & getrecommendations! Published in 2020 at "Optimization"
DOI: 10.1080/02331934.2020.1774586
Abstract: ABSTRACT We give explicit solutions for utility maximization of terminal wealth problem in the presence of Knightian uncertainty in continuous time . We assume there is uncertainty on both drift and volatility of the underlying… read more here.
Keywords: uncertainty; utility; drift volatility; maximization terminal ... See more keywords
The nematode worm C. elegans chooses between bacterial foods as if maximizing economic utility
Sign Up to like & getrecommendations! Published in 2023 at "eLife"
DOI: 10.1101/2021.04.25.441352
Abstract: In value-based decision making, options are selected according to subjective values assigned by the individual to available goods and actions. Despite the importance of this faculty of the mind, the neural mechanisms of value assignments,… read more here.
Keywords: utility maximization; utility; nematode worm; value ... See more keywords
A Learning Framework for Personalized Random Utility Maximization (RUM) Modeling of User Behavior
Sign Up to like & getrecommendations! Published in 2022 at "IEEE Transactions on Automation Science and Engineering"
DOI: 10.1109/tase.2020.3041411
Abstract: Understanding user behavior is crucial for the success of many emerging applications that aim to provide personalized services for target users, such as many patient-centered health apps and transportation apps. Models based on the random… read more here.
Keywords: utility maximization; maximization rum; framework; user behavior ... See more keywords
Size-Based Congestion Control Using Network Utility Maximization
Sign Up to like & getrecommendations! Published in 2022 at "IEEE Transactions on Control of Network Systems"
DOI: 10.1109/tcns.2022.3165018
Abstract: This article presents a method for allocating transmission rates in a communication network that uses the knowledge of the size of the file to be transmitted to seek to obtain the benefits of shortest remaining… read more here.
Keywords: network utility; network; congestion; utility maximization ... See more keywords
Delay-Based Network Utility Maximization Modelling for Congestion Control in Named Data Networking
Sign Up to like & getrecommendations! Published in 2021 at "IEEE/ACM Transactions on Networking"
DOI: 10.1109/tnet.2021.3090174
Abstract: Content replication and name-based routing lead to a natural multi-source and multipath transmission paradigm in NDN. Due to the unique connectionless characteristic of NDN, current end-to-end multipath congestion control schemes (e.g. MPTCP) cannot be used… read more here.
Keywords: congestion control; network utility; control; utility maximization ... See more keywords
Federated Edge Network Utility Maximization for a Multi-Server System: Algorithm and Convergence
Sign Up to like & getrecommendations! Published in 2022 at "IEEE/ACM Transactions on Networking"
DOI: 10.1109/tnet.2022.3156530
Abstract: We propose a novel Federated Edge Network Utility Maximization (FEdg-NUM) architecture for solving a large-scale distributed network utility maximization (NUM) problem. In FEdg-NUM, clients with private utilities communicate to a peer-to-peer network of edge servers.… read more here.
Keywords: network utility; network; utility maximization; federated edge ... See more keywords
A Choice Model of Utility Maximization and Regret Minimization
Sign Up to like & getrecommendations! Published in 2022 at "Journal of Marketing Research"
DOI: 10.1177/00222437221094824
Abstract: Consumers often try to achieve multiple goals when purchasing products and services, where choices are sought that maximize utility and other objectives such as to minimize regret. If the performance of choice outcomes are associated… read more here.
Keywords: utility maximization; utility; regret minimization; maximization regret ... See more keywords
Utility maximization with habit formation of interaction
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Industrial and Management Optimization"
DOI: 10.3934/jimo.2020029
Abstract: In this paper, we analytically solve the utility maximization problem for a consumption set with multiple habit formation of interaction. Consumption is here composed of habitual and nonhabitual components, where habitual consumption represents the effect… read more here.
Keywords: utility; consumption; habit formation; utility maximization ... See more keywords