Related papers: Optimal Selection of Assets Investing Composition …
In this paper we consider the strategic asset allocation of an insurance company. This task can be seen as a special case of portfolio optimization. In the 1950s, Markowitz proposed to formulate portfolio optimization as a bicriteria…
Financial market forecasting remains a formidable challenge despite the surge in computational capabilities and machine learning advancements. While numerous studies have underscored the precision of computer-generated market predictions,…
We consider robust pricing and hedging for options written on multiple assets given market option prices for the individual assets. The resulting problem is called the multi-marginal martingale optimal transport problem. We propose two…
Although traditional optimization methods focus on finding a single optimal solution, most objective functions in modern machine learning problems, especially those in deep learning, often have multiple or infinite numbers of optima.…
Multi-Objective Optimization (MOO) techniques have become increasingly popular in recent years due to their potential for solving real-world problems in various fields, such as logistics, finance, environmental management, and engineering.…
This work considers the allocation problem for multivariate stratified random sampling as a problem of integer non-linear stochastic multiobjective mathematical programming. With this goal in mind the asymptotic distribution of the vector…
Optimization problems with more than one objective consist in a very attractive topic for researchers due to its applicability in real-world situations. Over the years, the research effort in the Computational Intelligence field resulted in…
Optimal selection of interdependent IT Projects for implementation in multi periods has been challenging in the framework of real option valuation. This paper presents a mathematical optimization model for multi-stage portfolio of IT…
This paper proposes a multiobjective multitasking optimization evolutionary algorithm based on decomposition with dual neighborhood. In our proposed algorithm, each subproblem not only maintains a neighborhood based on the Euclidean…
Many modern deep learning applications require balancing multiple objectives that are often conflicting. Examples include multi-task learning, fairness-aware learning, and the alignment of Large Language Models (LLMs). This leads to…
We consider the problem of optimizing a grey-box objective function, i.e., nested function composed of both black-box and white-box functions. A general formulation for such grey-box problems is given, which covers the existing grey-box…
Sequential decision-making problems with multiple objectives arise naturally in practice and pose unique challenges for research in decision-theoretic planning and learning, which has largely focused on single-objective settings. This…
In this article we develop a gradient-based algorithm for the solution of multiobjective optimization problems with uncertainties. To this end, an additional condition is derived for the descent direction in order to account for…
In this work, we deal with the problem of computing a comprehensive front of efficient solutions in multi-objective portfolio optimization problems in presence of sparsity constraints. We start the discussion pointing out some weaknesses of…
The article proposes a heuristic approximation approach to the bin packing problem under multiple objectives. In addition to the traditional objective of minimizing the number of bins, the heterogeneousness of the elements in each bin is…
Even though it is well known that for most relevant computational problems different algorithms may perform better on different classes of problem instances, most researchers still focus on determining a single best algorithmic…
We propose a novel method for multi-objective motion planning problems by leveraging the paradigm of lexicographic optimization and applying it for the first time to graph search over probabilistic roadmaps. The competing resources of…
In this study, a nondominated-solution-based multi-objective greedy method is proposed and applied to a sensor selection problem based on the multiple indices of the optimal design of experiments. The proposed method simultaneously…
We apply numerical dynamic programming techniques to solve discrete-time multi-asset dynamic portfolio optimization problems with proportional transaction costs and shorting/borrowing constraints. Examples include problems with multiple…
We propose a novel approach to allocating resources for expensive simulations of high fidelity models when used in a multifidelity framework. Allocation decisions that distribute computational resources across several simulation models…