We consider a stochastic optimization problem of maximizing the expected utility from terminal wealth in an illiquid market. A discrete time model is constructed with few additional state variables. The dynamic programming approach is then developed and used for numerical studies. No-arbitrage...

The purpose of this article is to evaluate optimal expected utility risk measures (OEU) in a risk- constrained portfolio optimization context where the expected portfolio return is maximized. We compare the portfolio optimization with OEU constraint to a portfolio selection model using value at...

The tendency of humans to shy away from using algorithms - even when algorithms observably outperform their human counterpart - has been referred to as algorithm aversion. We conduct an experiment to test for algorithm aversion in financial decision making. Participants acting as investors can...

This chapter gives an overview of current research in evolutionary finance. We mainly focus on the survival and stability properties of investment strategies associated with the Kelly rule. Our approach to the study of the wealth dynamics of investment strategies is inspired by Darwinian ideas...