Related papers: Combining Alpha Streams with Costs

In this paper, we study the resource allocation and user scheduling problem for a downlink nonorthogonal multiple access network where the base station allocates spectrum and power resources to a set of users. We aim to jointly optimize the…

In this paper, we revisit the portfolio allocation problem with designated risk-budget [Qian, 2005]. We generalize the problem of arbitrary risk budgets with unequal correlations to one that includes return forecasts and transaction costs…

In high performance computing, scheduling of tasks and allocation to machines is very critical especially when we are dealing with heterogeneous execution costs. Simulations can be performed with a large variety of environments and…

Platform trials are randomized clinical trials that allow simultaneous comparison of multiple interventions, usually against a common control. Arms to test experimental interventions may enter and leave the platform over time. This implies…

Using multiple streams can improve the overall system performance by mitigating the data transfer overhead on heterogeneous systems. Currently, very few cases have been streamed to demonstrate the streaming performance impact and a…

In this note we sketch an initial tentative approach to funding costs analysis and management for contracts with bilateral counterparty risk in a simplified setting. We depart from the existing literature by analyzing the issue of funding…

In this article we deal with the problem of portfolio allocation by enhancing network theory tools. We use the dependence structure of the correlations network in constructing some well-known risk-based models in which the estimation of…

Transaction costs play a critical role in asset allocation and consumption strategies in portfolio management. We apply the methods of dynamic programming and singular perturbation expansion to derive the closed-form leading solutions to…

We investigate fusing several unreliable computational units that perform the same task. We model an unreliable computational outcome as an additive perturbation to its error-free result in terms of its fidelity and cost. We analyze…

We consider the problem of online allocation subject to a long-term fairness penalty. Contrary to existing works, however, we do not assume that the decision-maker observes the protected attributes -- which is often unrealistic in practice.…

The allocation of computing tasks for networked distributed services poses a question to service providers on whether centralized allocation management be worth its cost. Existing analytical models were conceived for users accessing…

We consider a trading marketplace that is populated by traders with diverse trading strategies and objectives. The marketplace allows the suppliers to list their goods and facilitates matching between buyers and sellers. In return, such a…

In this paper we investigate a new class of growth rate maximization problems based on impulse control strategies such that the average number of trades per time unit does not exceed a fixed level. Moreover, we include proportional…

When the traded energy and reserve products between zones are co-allocated to optimize the infrastructure usage, both deterministic and stochastic flows have to be accounted for on interconnector lines. We focus on allocation models, which…

This article develops the theory of risk budgeting portfolios, when we would like to impose weight constraints. It appears that the mathematical problem is more complex than the traditional risk budgeting problem. The formulation of the…

The classical optimal investment and consumption problem with infinite horizon is studied in the presence of transaction costs. Both proportional and fixed costs as well as general utility functions are considered. Weak dynamic programming…

We consider a market consisting of one safe and one risky asset, which offer constant investment opportunities. Taking into account both proportional transaction costs and linear price impact, we derive optimal rebalancing policies for…

In a cost sharing problem on a weighted undirected graph, all other nodes want to connect to the source node for some service. Each edge has a cost denoted by a weight and all the connected nodes should share the total cost for the…

We consider the optimal trade execution strategies for a large portfolio of single stocks proposed by Almgren (2003). This framework accounts for a nonlinear impact of trades on average market prices. The results of Almgren (2003) are based…

We study exploration in stochastic multi-armed bandits when we have access to a divisible resource that can be allocated in varying amounts to arm pulls. We focus in particular on the allocation of distributed computing resources, where we…