Related papers: Notes on Alpha Stream Optimization

In this paper we consider resource allocation problem stated as a convex minimization problem with linear constraints. To solve this problem, we use gradient and accelerated gradient descent applied to the dual problem and prove the…

Motivated by recent development in networking and parallel data-processing, we consider a distributed and localized finite-sum (or fixed-sum) allocation technique to solve resource-constrained convex optimization problems over multi-agent…

In this paper, we consider the resource allocation problem in a network with a large number of connections which are used by a huge number of users. The resource allocation problem under discussion is a maximization problem with linear…

In this paper, we consider the problem of scheduling an application on a parallel computational platform. The application is a particular task graph, either a linear chain of tasks, or a set of independent tasks. The platform is made of…

We study the problem of optimal portfolio selection in an illiquid market with discrete order flow. In this market, bids and offers are not available at any time but trading occurs more frequently near a terminal horizon. The investor can…

The dynamic portfolio optimization problem in finance frequently requires learning policies that adhere to various constraints, driven by investor preferences and risk. We motivate this problem of finding an allocation policy within a…

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.…

We propose a protocol optimization technique that is applicable to both weighted or unweighted graphs. Our aim is to explore by how much a small variation around the Shortest Path or Optimal Path protocols can enhance protocol performance.…

We study the problem of the optimal execution of a large trade in the presence of nonlinear transient impact. We propose an approach based on homotopy analysis, whereby a well behaved initial strategy is continuously deformed to lower the…

Alpha signals for statistical arbitrage strategies are often driven by latent factors. This paper analyses how to optimally trade with latent factors that cause prices to jump and diffuse. Moreover, we account for the effect of the trader's…

Two prevalent models in the data stream literature are the insertion-only and turnstile models. Unfortunately, many important streaming problems require a $\Theta(\log(n))$ multiplicative factor more space for turnstile streams than for…

In this paper, we investigate the online allocation problem of maximizing the overall revenue subject to both lower and upper bound constraints. Compared to the extensively studied online problems with only resource upper bounds, the…

We analyze an optimal trade execution problem in a financial market with stochastic liquidity. To this end we set up a limit order book model in which both order book depth and resilience evolve randomly in time. Trading is allowed in both…

We deal with the optimal execution problem when the broker's goal is to reach a performance barrier avoiding a downside barrier. The performance is provided by the wealth accumulated by trading in the market, the shares detained by the…

Portfolio selection in the periodic investment of securities modeled by a multivariate Merton model with dependent jumps is considered. The optimization framework is designed to maximize expected terminal wealth when portfolio risk is…

With the rapid growth of online investment platforms, funds can be distributed to individual customers online. The central issue is to match funds with potential customers under constraints. Most mainstream platforms adopt the…

In this paper, we consider a financial market with assets exposed to some risks inducing jumps in the asset prices, and which can still be traded after default times. We use a default-intensity modeling approach, and address in this…

Integer variables allow the treatment of some portfolio optimization problems in a more realistic way and introduce the possibility of adding some natural features to the model. We propose an algebraic approach to maximize the expected…

For a team of heterogeneous robots executing multiple tasks, we propose a novel algorithm to optimally allocate tasks to robots while accounting for their different capabilities. Motivated by the need that robot teams have in many…

We study the problem of optimal execution of a trading order under Volume Weighted Average Price (VWAP) benchmark, from the point of view of a risk-averse broker. The problem consists in minimizing mean-variance of the slippage, with…