Related papers: Notes on Alpha Stream Optimization
Distributed optimization, where the computations are performed in a localized and coordinated manner using multiple agents, is a promising approach for solving large-scale optimization problems, e.g., those arising in model predictive…
Substreams refer to the streams of each user in a system. Substream weighting, where the weights determine the prioritization order, can be important in multiple-input multiple-output interference channels. In this letter, a distributed…
Targeted marketing policies target different customers with different marketing actions. While most research has focused on training targeting policies without managerial constraints, in practice, many firms face managerial constraints when…
One of the problems frequently mentioned as a candidate for quantum advantage is that of selecting a portfolio of financial assets to maximize returns while minimizing risk. In this paper we formulate several real-world constraints for use…
We consider an investor, whose portfolio consists of a single risky asset and a risk free asset, who wants to maximize his expected utility of the portfolio subject to managing the Value at Risk (VaR) assuming a heavy tailed distribution of…
In this work, we consider the optimal portfolio selection problem under hard constraints on trading amounts, transaction costs and different rates for borrowing and lending when the risky asset returns are serially correlated. No…
In this study, we introduce an explicit trading-volume process into the Almgren-Chriss model, which is a standard model for optimal execution. We propose a penalization method for deriving a verification theorem for an adaptive optimization…
Clustering is a fundamental tool for analyzing large data sets. A rich body of work has been devoted to designing data-stream algorithms for the relevant optimization problems such as $k$-center, $k$-median, and $k$-means. Such algorithms…
This paper studies a type of periodic utility maximization for portfolio management in an incomplete market model, where the underlying price diffusion process depends on some external stochastic factors. The portfolio performance is…
This paper studies an open question in the warehouse problem where a merchant trading a commodity tries to find an optimal inventory-trading policy to decide on purchase and sale quantities during a fixed time horizon in order to maximize…
This paper introduces a methodology leveraging Large Language Models (LLMs) for sector-level portfolio allocation through systematic analysis of macroeconomic conditions and market sentiment. Our framework emphasizes top-down sector…
In this paper, we propose a market model with returns assumed to follow a multivariate normal tempered stable distribution defined by a mixture of the multivariate normal distribution and the tempered stable subordinator. This distribution…
Resource allocation problems in many computer systems can be formulated as mathematical optimization problems. However, finding exact solutions to these problems using off-the-shelf solvers in an online setting is often intractable for…
We optimize the throughput of a single cell multiuser orthogonal frequency division multiplexing system with proportional data rate fairness among the users. The concept is to support mobile users with different levels of service. The…
The streaming max-min diversification problem concerns the selection of a limited and diverse sample of items out of a data stream of known finite length. The objective to be maximized is the minimum distance among any pair of selected…
Recommendation systems when employed in markets play a dual role: they assist users in selecting their most desired items from a large pool and they help in allocating a limited number of items to the users who desire them the most. Despite…
We examine optimal execution models that take into account both market microstructure impact and informational costs. Informational footprint is related to order flow and is represented by the trader's influence on the flow imbalance…
Online portfolio selection is an integral componentof wealth management. The fundamental undertaking is tomaximise returns while minimising risk given investor con-straints. We aim to examine and improve modern strategiesto generate higher…
We introduce a novel approach to portfolio optimization that leverages hierarchical graph structures and the Schur complement method to systematically reduce computational complexity while preserving full covariance information. Inspired by…
The minimum cost-flow problems have been attracted recently in optimization because of their applications in several areas of applied science and real life. Therefore, finding optima solution of these problems would be significant. Although…