This paper studies a finite-horizon portfolio selection problem with non-concave terminal utility and proportional transaction costs. The commonly used concavification principle for terminal value is no longer valid here, and we establish a proper theoretical characterization of this problem. We...

We propose a stochastic control model to study corporate investment with generalized investment frictions, including investment lags and various of adjustment costs. We find that the dominance of the ``good news principle'' or ``bad news principle'' is determined by the joint effect of...

We propose a dynamic industry equilibrium model for Bitcoin electricity consumption in a general framework, including Bitcoin miners’ optimal entry and exit with technology innovation. By adopting average operating costs as an approximation to the true operating costs, we overcome the...

We propose a general continuous time framework of revenue maximization for a monop- olist seller, which covers the continuous time extension of the two discrete time models of nonstrategic customers in Liu and Cooper(2015) and strategic customers in Besbes and Lobel (2015). In the former case,...

Many finance problems can be formulated as a singular stochastic control problem, where the associated Hamilton-Jacobi-Bellman (HJB) equation takes the form of variational inequality and its penalty approximation equation is linked to a regular control problem. The penalty method, as a finite...

The problems of non-concave utility maximization appear in many areas of finance and economics, such as in behavior economics, incentive schemes, aspiration utility, and goal-reaching problems. Existing literature solves these problems using the concavification principle. We provide a framework...