Related papers: Some Mathematical Aspects of Price Optimisation
The optimal taxation of assets requires attention to two concerns: 1) the elasticity of the supply of assets and 2) the impact of taxing assets on distributional objectives. The most efficient way to attend to these two concerns is to tax…
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Numerical challenges inherent in algorithms for computing worst Value-at-Risk in homogeneous portfolios are identified and solutions as well as words of warning concerning their implementation are provided. Furthermore, both conceptual and…
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Recent progress in the development of efficient computational algorithms to price financial derivatives is summarized. A first algorithm is based on a path integral approach to option pricing, while a second algorithm makes use of a neural…
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{\em Reoptimization} is a setting in which we are given an (near) optimal solution of a problem instance and a local modification that slightly changes the instance. The main goal is that of finding an (near) optimal solution of the…
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The problem of computing near-optimal contracts in combinatorial settings has recently attracted significant interest in the computer science community. Previous work has provided a rich body of structural and algorithmic insights into this…
This note further addresses the global optimization problem for max-plus linear systems considered in [Automatica 119 (2020) 109104]. Firstly, the operations between infinity elemens and real numbers involved in the formulas of solving…
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We propose a general method for deriving prognostics-based predictive maintenance policies. The method takes into account the available decision options at hand, the information on the future state of the system provided by a prognostic…
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Estimating equations arise in a wide range of statistical applications, including longitudinal and clustered data analysis, survival analysis, econometrics, and semiparametric inference. In high-dimensional settings, adding…
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