Optimal consumption and investment under time-varying relative risk aversion

The class of discrete event dynamic systems involving only synchronization phenomena can be seen as linear time-invariant systems in a particular algebraic structure called ( min , +

We propose an algorithm to find an optimal so- lution of the energy arbitrage problem under given time varying electricity prices.. Our algorithm is based on discretization of

In this paper, we study the decentralized synchronization problem for a network planar identical harmonic oscillators, the oscillators are assumed to have an identical but time-

We then assume that the decision-maker is uncertain about a parameter of the risk distribution and we use this last condition to study the e¤ect of ambiguity-aversion on the

We introduce a special metric space in which the Feynman - Kac map- ping is contracted. Taking this into account we show the fixed-point theorem for this mapping and we show that

It seems that for the first time an optimization portfolio problem for financial markets with jumps was studied in the paper [15], in which the authors using the stochas- tic

In contrast to this observation, when work- ing with a power utility function and a uniform risk limit throughout the investment horizon, this effect disappears; indeed the

We investigate optimal consumption problems for a Black-Scholes market under uniform restrictions on Value-at-Risk and Expected Shortfall for logarithmic utility functions.. We find