In this paper we study a Markov decision process with a non-linear discount function. Our approach is in spirit of the von Neumann-Morgenstern concept and is based on the notion of expectation. First, we define a utility on the space of trajectories of the process in the finite and infinite time...

The class of defensive online portfolio selection algorithms,designed for fi nite investment horizon, is introduced. The Game Constantly Rebalanced Portfolio and the Worst Case Game Constantly Rebalanced Portfolio, are presented and theoretically analyzed. The analysis exploits the rich set of...

Conditional Value-at-Risk (CVaR) measures the expected loss amount beyond VaR. It has vast advantage over VaR because of its property of coherence. This paper gives an analytical solution in a complete market setting to the risk reward problem faced by a portfolio manager whose portfolio needs...

A model of bank’s dynamic asset management problem in case of partially observed future economic conditions and requirements concerning level of risk taken has been built. It requires solving the resulting optimal control with random terminal condition resulting from partial observation of...

This paper investigates a simple risk management problem where an investor is forced to hold a risky asset and then allowed to trade put options on the asset. I simulate the distribution of returns for different quantities of options and investigate statistics from the distribution. In the first...

This paper studies the Pareto-optimality of the consensual optimum established in "Allais-anonymity as an alternative to the discounted-sum criterion I: consensual optimality" (Mabrouk 2006a). For that, a Pareto-optimality criterion is set up by the application of the generalized Karush, Kuhn...

In this paper, we apply the idea of $k$-local contraction of \cite{zec, zet} to study discounted stochastic dynamic programming models with unbounded returns. Our main results concern the existence of a unique solution to the Bellman equation and are applied to the theory of stochastic optimal...

The objective of this work is to try to define and calculate the optimal growth path, in the presence of exogenous technical change, without resorting to the discounted-sum criterion. The solution suggested is to consider an optimality criterion expressing an Allais-anonymous intergenerational...

We consider a health authority seeking to allocate annual budgets optimally over time to minimize the discounted social cost of infection(s) evolving in a finite set of R = 2 groups. This optimization problem is challenging, since as is well known, the standard epidemiological model describing...

This paper generalizes the classical discounted utility model introduced by Samuelson by replacing a constant discount rate with a function. The existence of recursive utilities and their constructions are based on Matkowski's extension of the Banach Contraction Principle. The derived utilities...