Related papers: Asset Allocation under the Basel Accord Risk Measu…
This paper considers multiple binary hypothesis tests with adaptive allocation of sensing resources from a shared budget over a small number of stages. A Bayesian formulation is provided for the multistage allocation problem of minimizing…
Several portfolio selection models take into account practical limitations on the number of assets to include and on their weights in the portfolio. We present here a study of the Limited Asset Markowitz (LAM), of the Limited Asset Mean…
The model of this paper gives a convenient strategy that a bank in the federal funds market can use in order to maximize its profit in a contemporaneous reserve requirement (CRR) regime. The reserve requirements are determined by the demand…
Evolutions of the trading landscape lead to the capability to exchange the same financial instrument on different venues. Because of liquidity issues, the trading firms split large orders across several trading destinations to optimize…
We propose a distributed solution for a constrained convex optimization problem over a network of clustered agents each consisted of a set of subagents. The communication range of the clustered agents is such that they can form a connected…
We propose a new splitting and successively solving augmented Lagrangian (SSAL) method for solving an optimization problem with both semicontinuous variables and a cardinality constraint. This optimization problem arises in several contexts…
This paper deals with an optimization problem over a network of agents, where the cost function is the sum of the individual objectives of the agents and the constraint set is the intersection of local constraints. Most existing methods…
We study policy optimization for infinite-horizon, discounted constrained Markov decision processes (CMDPs). While existing theoretical guarantees typically hold for the mixture policy, deploying such a policy is computationally and memory…
Optimization problems with norm-bounding constraints arise in a variety of applications, including portfolio optimization, machine learning, and feature selection. A common approach to these problems involves relaxing the norm constraint…
This paper investigates risk measures derived from the expected maximum deficit in a continuous-time framework and develops optimal reserve allocation strategies across multiple lines of business. We formalize the expected maximum deficit…
The paper proposes a new algorithm for the high-dimensional financial data -- the Groupwise Interpretable Basis Selection (GIBS) algorithm, to estimate a new Adaptive Multi-Factor (AMF) asset pricing model, implied by the recently developed…
To quantify an operational risk capital charge under Basel II, many banks adopt a Loss Distribution Approach. Under this approach, quantification of the frequency and severity distributions of operational risk involves the bank's internal…
We consider a multi-objective risk-averse two-stage stochastic programming problem with a multivariate convex risk measure. We suggest a convex vector optimization formulation with set-valued constraints and propose an extended version of…
We address the problem of strategic asset allocation (SAA) with portfolios that include illiquid alternative asset classes. The main challenge in portfolio construction with illiquid asset classes is that we do not have direct control over…
Association rule mining is a time consuming process due to involving both data intensive and computation intensive nature. In order to mine large volume of data and to enhance the scalability and performance of existing sequential…
Basel II and Solvency 2 both use the Value-at-Risk (VaR) as the risk measure to compute the Capital Requirements. In practice, to calibrate the VaR, a normal approximation is often chosen for the unknown distribution of the yearly log…
Distributed optimization algorithms are used in a wide variety of problems involving complex network systems where the goal is for a set of agents in the network to solve a network-wide optimization problem via distributed update rules. In…
We develop an optimization model and corresponding algorithm for the management of a demand-side platform (DSP), whereby the DSP aims to maximize its own profit while acquiring valuable impressions for its advertiser clients. We formulate…
This paper considers an insurer with two collaborating business lines that faces three critical decisions: (1) dividend payout, (2) reinsurance coverage, and (3) capital injection between the lines, in the presence of model uncertainty. The…
On June 26th, 2004, Central bank governors and the heads of bank supervisory authorities in the Group of Ten (G10) countries issued a press release and endorsed the publication of "International Convergence of Capital Measurement and…