Related papers: Belief Propagation Algorithm for Portfolio Optimiz…
Data association, the problem of reasoning over correspondence between targets and measurements, is a fundamental problem in tracking. This paper presents a graphical model formulation of data association and applies an approximate…
In this paper, we study a fast approximate inference method based on expectation propagation for exploring the posterior probability distribution arising from the Bayesian formulation of nonlinear inverse problems. It is capable of…
A classical portfolio theory deals with finding the optimal proportion in which an agent invests a wealth in a risk-free asset and a probabilistic risky asset. Formulating and solving the problem depend on how the risk is represented and…
We provide analytical results for a static portfolio optimization problem with two coherent risk measures. The use of two risk measures is motivated by joint decision-making for portfolio selection where the risk perception of the portfolio…
In this paper, we revisit the portfolio optimization problems of the minimization/maximization of investment risk under constraints of budget and investment concentration (primal problem) and the maximization/minimization of investment…
Considering mean-variance portfolio problems with uncertain model parameters, we contrast the classical absolute robust optimization approach with the relative robust approach based on a maximum regret function. Although the latter problems…
We consider an optimal liquidation problem with instantaneous price impact and stochastic resilience for small instantaneous impact factors. Within our modelling framework, the optimal portfolio process converges to the solution of an…
Inference problems in graphical models can be represented as a constrained optimization of a free energy function. It is known that when the Bethe free energy is used, the fixedpoints of the belief propagation (BP) algorithm correspond to…
We examine the problem of optimal portfolio allocation within the framework of utility theory. We apply exponential utility to derive the optimal diversification strategy and logarithmic utility to determine the optimal leverage. We enhance…
We re-visit the classical problem of optimal payment of dividends and determine the degree to which the diffusion approximation serves as a valid approximation of the classical risk model for this problem. Our results parallel some of those…
We consider a class of spreading processes on networks, which generalize commonly used epidemic models such as the SIR model or the SIS model with a bounded number of re-infections. We analyse the related problem of inference of the…
The Plant Propagation Algorithm, epitomised by the Strawberry Algorithm, has been previously successfully tested on low dimensional continuous optimisation problems. It is a neighborhood search algorithm. In this paper, we introduce, robust…
Inference and optimization of real-value edge variables in sparse graphs are studied using the Bethe approximation and replica method of statistical physics. Equilibrium states of general energy functions involving a large set of real…
In the frictionless discrete time financial market of Bouchard et al.(2015) we consider a trader who, due to regulatory requirements or internal risk management reasons, is required to hedge a claim $\xi$ in a risk-conservative way relative…
This paper examines replication portfolio construction in incomplete markets - a key problem in financial engineering with applications in pricing, hedging, balance sheet management, and energy storage planning. We model this as a…
In this paper, we consider the portfolio optimization problem in a financial market under a general utility function. Empirical results suggest that if a significant market fluctuation occurs, invested wealth tends to have a notable change…
In financial investing, universal portfolios are a means of constructing portfolios which guarantee a certain level of performance relative to a baseline, while making no statistical assumptions about the future market data. They fall under…
We study several bayesian inference problems for irreversible stochastic epidemic models on networks from a statistical physics viewpoint. We derive equations which allow to accurately compute the posterior distribution of the time…
In the present work, the optimal portfolio minimizing the investment risk with cost is discussed analytically, where this objective function is constructed in terms of two negative aspects of investment, the risk and cost. We note the…
We study text summarization from the viewpoint of maximum coverage problem. In graph theory, the task of text summarization is regarded as maximum coverage problem on bipartite graph with weighted nodes. In recent study, belief-propagation…