We propose a stochastic control approach to the dynamic maximization ofrobust utility functionals that are defined in terms of logarithmic utility and a dynamically consistent convex risk measure. The underlying market is modeled by a diffusion process whose coefficients are driven by an...

We give an explicit PDE characterization for the solution of a robust utility maximization problem in an incomplete market model, whose volatility, interest rate process, and long-term trend are driven by an external stochastic factor process. The robust utility functional is defined in terms of...

As a main step in the numerical solution of control problems in continuous time,the controlled process is approximated by sequences of controlled Markov chains, thus discretising time and space. A new feature in this context is to allow for delay in the dynamics. The existence of an optimal...

Selbst wenn wir den Begriff der Macht nicht ausdrücklich benutzen, greifenwir doch häufig im Alltagsdenken auf Machtvorstellungen zurück, umVerhalten zu erklären. Vor allem erklären wir uns damit Verhalten, vondem wir meinen, dass es „gegen den eigenen Willen“ zustande kam. Wirsagen...

Existing empirical evidence is inconclusive whether professional investors show moresophisticated behavior than individual investors. Therefore, we study two importantgroups of professional investors and compare them to laymen by way of a survey coveringabout 500 investors. We find that some...

This paper presents simple su±cient conditions under which optimal bunches inadverse-selection principal-agent problems can be characterized without using optimal controltheory.

Based on two representative samples of employees, the German Socio Economic Panel andthe European Social Survey, we explore the relation between certain measures of control inemployment relationships (i.e. working time regulations, use of performance appraisalsystems, monitoring by supervisors,...

The edge-set encoding is a direct tree encoding which applies search oper-ators directly to trees represented as sets of edges. There are two variantsof crossover operators for the edge-set encoding: With heuristics that con-sider the weights of the edges, or without heuristics. Due to a strong...

Zu den Kontrollgremien beziehungsweise Kontrollorganen (KOG) zählen unter anderemAufsichtsräte von Aktiengesellschaften und GmbHs, Verwaltungsräte von öffentlichrechtlichenBanken und Aufsichtsbehörden im Finanzsektor.[...]

This paper compares the commonly-used periodic-review, replenishment interval, order-up-to (R, T) policy to the continuous review, reorder point, order quantity, (Q, r) model. [...]