Related papers: A Portfolio Approach to Algorithm Selection for Di…
The multiple knapsack problem (MKP) generalizes the classical knapsack problem by assigning items to multiple knapsacks subject to capacity constraints. It is used to model many real-world resource allocation and scheduling problems. In…
Decomposition-based multi-objective evolutionary algorithms (MOEAs) are widely used for solving multi-objective optimisation problems. However, their effectiveness depends on the consistency between the problems Pareto front shape and the…
In This paper we present a genetic algorithm for mulicriteria optimization of a multipickup and delivery problem with time windows (m-PDPTW). The m-PDPTW is an optimization vehicles routing problem which must meet requests for transport…
In this paper, we first conduct a study of the portfolio selection problem, incorporating both exogenous (proportional) and endogenous (resulting from liquidity risk, characterized by a stochastic process) transaction costs through the…
The performance of multiobjective evolutionary algorithms (MOEAs) varies across problems, making it hard to develop new algorithms or apply existing ones to new problems. To simplify the development and application of new multiobjective…
The decomposition-based multi-objective evolutionary algorithm (MOEA/D) does not directly optimize a given multi-objective function $f$, but instead optimizes $N + 1$ single-objective subproblems of $f$ in a co-evolutionary manner. It…
This thesis investigates Merton's portfolio problem under two different rough Heston models, which have a non-Markovian structure. The motivation behind this choice of problem is due to the recent discovery and success of rough volatility…
We revisit the problem of finding optimal strategies for deterministic Markov Decision Processes (DMDPs), and a closely related problem of testing feasibility of systems of $m$ linear inequalities on $n$ real variables with at most two…
Decomposition-based multiobjective evolutionary algorithms (MOEAs) with clustering-based reference vector adaptation show good optimization performance for many-objective optimization problems (MaOPs). Especially, algorithms that employ a…
The Multi-Objective Evolutionary Algorithm based on Decomposition (MOEA/D) is a popular algorithm for solving Multi-Objective Problems (MOPs). The main component of MOEA/D is to decompose a MOP into easier sub-problems using a set of weight…
The PDPTW is an optimization vehicles routing problem which must meet requests for transport between suppliers and customers satisfying precedence, capacity and time constraints. We present, in this paper, a genetic algorithm for…
Multi-period portfolio optimization is important for real portfolio management, as it accounts for transaction costs, path-dependent risks, and the intertemporal structure of trading decisions that single-period models cannot capture.…
Regression testing of software is a crucial but time-consuming task, especially in the context of user interface (UI) testing where multiple microservices must be validated simultaneously. Test case prioritization (TCP) is a cost-efficient…
We present and evaluate new techniques for designing algorithm portfolios. In our view, the problem has both a scheduling aspect and a machine learning aspect. Prior work has largely addressed one of the two aspects in isolation. Building…
Dynamic Multi-objective Optimization Problems (DMOPs) refer to optimization problems that objective functions will change with time. Solving DMOPs implies that the Pareto Optimal Set (POS) at different moments can be accurately found, and…
In this paper we consider a discrete-time risk sensitive portfolio optimization over a long time horizon with proportional transaction costs. We show that within the log-return i.i.d. framework the solution to a suitable Bellman equation…
The performance of automated algorithm selection (AAS) strongly depends on the portfolio of algorithms to choose from. Selecting the portfolio is a non-trivial task that requires balancing the trade-off between the higher flexibility of…
We investigate the portfolio selection problem for an agent with rank-dependent utility in an incomplete financial market. For a constant-coefficient market and CRRA utilities, we characterize the deterministic strict equilibrium…
We investigate the optimal portfolio deleveraging (OPD) problem with permanent and temporary price impacts, where the objective is to maximize equity while meeting a prescribed debt/equity requirement. We take the real situation with cross…
Portfolio optimisation is essential in quantitative investing, but its implementation faces several practical difficulties. One particular challenge is converting optimal portfolio weights into real-life trades in the presence of realistic…