Related papers: Foundations for Wash Sales
We study the warehouse problem, arising in the area of inventory management and production planning. Here, a merchant wants to decide an optimal trading policy that computes quantities of a single commodity to purchase, store and sell…
In portfolio optimization problems, the minimum expected investment risk is not always smaller than the expected minimal investment risk. That is, using a well-known approach from operations research, it is possible to derive a strategy…
Motivated by Carbon Emissions Trading Schemes, Treasury Auctions, Procurement Auctions, and Wholesale Electricity Markets, which all involve the auctioning of homogeneous multiple units, we consider the problem of learning how to bid in…
Financial institutions and insurance companies that analyze the evolution and sources of profits and losses often look at risk factors only at discrete reporting dates, ignoring the detailed paths. Continuous-time decompositions avoid this…
Simultaneous ascending auctions present agents with the exposure problem: bidding to acquire a bundle risks the possibility of obtaining an undesired subset of the goods. Auction theory provides little guidance for dealing with this…
How do you bring your assets as close as possible to your target allocation by only investing a fixed amount of additional funds, and not selling any assets? We look at two versions of this problem which have simple, closed form solutions…
In this paper we consider the problem of minimising drawdown in a portfolio of financial assets. Here drawdown represents the relative opportunity cost of the single best missed trading opportunity over a specified time period. We formulate…
For long term investments, model portfolios are defined at the level of indexes, a setup known as Strategic Asset Allocation (SAA). The possible outcomes at a scale of a few decades can be obtained by Monte Carlo simulations, resulting in a…
Multi-armed bandit problems are the most basic examples of sequential decision problems with an exploration-exploitation trade-off. This is the balance between staying with the option that gave highest payoffs in the past and exploring new…
Second-price auctions with reserve play a critical role for modern search engine and popular online sites since the revenue of these companies often directly de- pends on the outcome of such auctions. The choice of the reserve price is the…
We analyse the effect of a proportional wealth tax on asset returns, portfolio choice, and asset pricing. The tax is levied annually on the market value of all holdings at a uniform rate. We show that such a tax is economically equivalent…
This paper studies a portfolio optimization problem in a discrete-time Markovian model of a financial market, in which asset price dynamics depend on an external process of economic factors. There are transaction costs with a structure that…
The random values and volumes of consecutive trades made at the exchange with shares of security determine its mean, variance, and higher statistical moments. The volume weighted average price (VWAP) is the simplest example of such a…
Key challenges in running a retail business include how to select products to present to consumers (the assortment problem), and how to price products (the pricing problem) to maximize revenue or profit. Instead of considering these…
Traditionally, the Bayesian optimal auction design problem has been considered either when the bidder values are i.i.d., or when each bidder is individually identifiable via her value distribution. The latter is a reasonable approach when…
This work initiates research into the problem of determining an optimal investment strategy for investors with different attitudes towards the trade-offs of risk and profit. The probability distribution of the return values of the stocks…
Motivated by fairness concerns, we study the `portfolio problem': given an optimization problem with set $D$ of feasible solutions, a class $\mathbf{C}$ of fairness objective functions on $D$, and an approximation factor $\alpha \ge 1$, a…
We consider a variation on the classical finance problem of optimal portfolio design. In our setting, a large population of consumers is drawn from some distribution over risk tolerances, and each consumer must be assigned to a portfolio of…
We study flow shop scheduling with stochastic reentry, where jobs must complete multiple passes through the entire shop, and the number of passes that a job requires for completion is drawn from a discrete probability distribution. The goal…
We consider the problem of a single seller repeatedly selling a single item to a single buyer (specifically, the buyer has a value drawn fresh from known distribution $D$ in every round). Prior work assumes that the buyer is fully rational…