Purpose: We aim to generalize the continuous-time principal-agent problem to incorporate time-inconsistent utility functions, such as those of mean-variance type, which are prevalent in risk management and finance. Design/methodology/approach: We use recent advancements of the Pontryagin maximum...

Much entrepreneurial growth in the United States today emanates from technological advances that optimize through contextualization. Innovations as varied as Airbnb and Uber, fintech firms and precision medicine, are transforming major sectors in the economy by customizing goods and services as...

We apply duality methods of linear and convex programming to the problems of operation and rental valuation of facilities for conversion and storage of cyclically priced goods, e.g. , energy. Both problems are approached by shadow-pricing the stock (which is a purely intermediate commodity); and...

Duality methods of linear and convex programming are applied to impute definite marginal values to the fixed inputs of a hydroelectric plant from the operating profit. Our earlier analysis of pumped storage (of energy and other cyclically priced goods) is thus extended to valuation of an...

The Kelly Capital Growth Investment Strategy (KCGIS) is to maximize the expected utility of nal wealth with a logarithmic utility function. This approach dates to Bernoulli's 1738 suggestion of log as the utility function arguing that marginal utility was proportional to the reciprocal of...