This paper studies an optimal investment and consumption problem with heterogeneous consumption of basic and luxury goods, together with the choice of time for retirement. The utility for luxury goods is not necessarily a concave function. The optimal heterogeneous consumption strategies for a...

We present a continuous-time portfolio selection problem faced by an agent with S-shaped preference who maximizes the utilities derived from the portfolio's periodic performance over an infinite horizon. The periodic reward structure creates subtle incentive distortion. In some cases, local risk...

This study investigates the optimal execution strategy of market-making for market and limit order arrival dynamics under a novel framework that includes a synchronised factor between buy and sell order arrivals. Using statistical tests, we empirically confirm that a synchrony propensity appears...

In this paper we propose a unified utility deviation-risk model which covers both utility maximization and mean-variance analysis as special cases. We derive the time-consistent Hamilton-Jacobi-Bellman (HJB) equation for the equilibrium value function and significantly reduce the number of state...