We consider a utility-maximization problem in a general semimartingale financial model, subject to constraints on the number of shares held in each risky asset. These constraints are modeled by ...

Abstract: The maximization of an increasing function over the set of achievable rates in a multi-user, multi-antenna downlink is addressed. In general, the set of rates achievable by linear precoding ...

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 ...

Abstract: This paper examines a linear programming (LP) formulation of the network utility maximization problem. Such an LP formulation is inspired by a convex relaxation technique in the study of ...