We study utility maximization for power utility random fields with and without intermediate consumption in a general semimartingale model with closed portfolio constraints. We show that any optimal ...
We consider the robust exponential utility maximization problem in discrete time: An investor maximizes the worst case expected exponential utility with respect to a family of nondominated ...
Lundy, Taylor, Alexander Wei, Hu Fu, Scott Duke Kominers, and Kevin Leyton-Brown. "Allocation for Social Good: Auditing Mechanisms for Utility Maximization." Proceedings of the ACM Conference on ...
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