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In this report we derive the strategic (deterministic) allocation to bonds and stocks resulting in the optimal mean-variance trade-off on a given investment horizon. The underlying capital market features a mean-reverting process for equity…
This paper studies the portfolio optimization problem when the investor's utility is general and the return and volatility of the risky asset are fast mean-reverting, which are important to capture the fast-time scale in the modeling of…
We consider the problem of online allocation (matching and assortments) of reusable resources where customers arrive sequentially in an adversarial fashion and allocated resources are used or rented for a stochastic duration that is drawn…
This paper considers a Markov decision model for profit maximization of a cloud computing service provider catering to customers submitting jobs with firm real-time random deadlines. Customers are charged on a per-job basis, receiving a…
Resource allocation and task prioritisation are key problem domains in the fields of autonomous vehicles, networking, and cloud computing. The challenge in developing efficient and robust algorithms comes from the dynamic nature of these…
Distribution shifts have long been regarded as troublesome external forces that a decision-maker should either counteract or conform to. An intriguing feedback phenomenon termed decision dependence arises when the deployed decision affects…
This paper considers a novel approach to scalable multiagent resource allocation in dynamic settings. We propose an approximate solution in which each resource consumer is represented by an independent MDP-based agent that models expected…
Dual risk models are popular for modeling a venture capital or high tech company, for which the running cost is deterministic and the profits arrive stochastically over time. Most of the existing literature on dual risk models concentrated…
We design an optimal strategy for investment in a portfolio of assets subject to a multiplicative Brownian motion. The strategy provides the maximal typical long-term growth rate of investor's capital. We determine the optimal fraction of…
Efficient allocation and use of limited resources are fundamental to advancing collective welfare and achieving long-term societal sustainability. This challenge involves not only how policymakers distribute scarce resources among…
Today's cloud infrastructure landscape offers a broad range of services to build and operate software applications. The myriad of options, however, has also brought along a new layer of complexity. When it comes to procuring cloud computing…
Assigning resources in business processes execution is a repetitive task that can be effectively automated. However, different automation methods may give varying results that may not be optimal. Proper resource allocation is crucial as it…
We investigate how and when to diversify capital over assets, i.e., the portfolio selection problem, from a signal processing perspective. To this end, we first construct portfolios that achieve the optimal expected growth in i.i.d.…
A {log-optimal} portfolio is any portfolio that maximizes the expected logarithmic growth (ELG) of an investor's wealth. This maximization problem typically assumes that the information of the true distribution of returns is known to the…
We develop an optimization framework centered around a core idea: once a (parametric) policy is specified, control authority is transferred to the policy, resulting in an autonomous dynamical system. Thus we should be able to optimize…
This article introduces a novel hybrid regime identification-forecasting framework designed to enhance multi-asset portfolio construction by integrating asset-specific regime forecasts. Unlike traditional approaches that focus on broad…
Given an initial resource allocation, where some agents may envy others or where a different distribution of resources might lead to higher social welfare, our goal is to improve the allocation without reassigning resources. We consider a…
In performative stochastic optimization, decisions can influence the distribution of random parameters, rendering the data-generating process itself decision-dependent. In practice, decision-makers rarely have access to the true…
We consider the problem of choosing an optimal portfolio, assuming the asset returns have a Gaussian mixture (GM) distribution, with the objective of maximizing expected exponential utility. In this paper we show that this problem is…
This paper proposes a new framework for distributed optimization, called distributed aggregative optimization, which allows local objective functions to be dependent not only on their own decision variables, but also on the average of…