Related papers: On Optimal Portfolios of Dynamic Resource Allocati…

The aim of this work consists in the study of the optimal investment strategy for a behavioural investor, whose preference towards risk is described by both a probability distortion and an S-shaped utility function. Within a continuous-time…

This paper proposes a potential game theoretic approach to address event-triggered distributed resource allocation in multi-agent systems. The fitness dynamic of the population is proposed and exploited as a linear parametervarying dynamic…

A discrete time probabilistic model, for optimal equity allocation and portfolio selection, is formulated so as to apply to (at least) reinsurance. In the context of a company with several portfolios (or subsidiaries), representing both…

In this paper we present efficient algorithmic solutions for several constrained resource allocation, management and discovery problems. We consider new types of resource allocation models and constraints, and we present new geometric…

We introduce distributional dynamic programming (DP) methods for optimizing statistical functionals of the return distribution, with standard reinforcement learning as a special case. Previous distributional DP methods could optimize the…

We consider the problem of optimally allocating a limited number of resources across time to maximize revenue under stochastic demands. This formulation is relevant in various areas of control, such as supply chain, ticket revenue…

We examine the problem of allocating a given total storage budget in a distributed storage system for maximum reliability. A source has a single data object that is to be coded and stored over a set of storage nodes; it is allowed to store…

This paper investigates the investment problem of constructing an optimal no-short sequential portfolio strategy in a market with a latent dependence structure between asset prices and partly unobservable side information, which is often…

In this report we demonstrate the potential utility of resource allocation management systems that use virtual machine technology for sharing parallel computing resources among competing jobs. We formalize the resource allocation problem…

We study the problem of a planner who resolves risk-return trade-offs - like financial investment decisions - on behalf of a collective of agents with heterogeneous risk preferences. The planner's objective is a two-stage utility functional…

Finding the optimal policy for multi-period perishable inventory systems requires solving computationally-expensive stochastic dynamic programs (DP). To avoid the difficulty of solving DP models, we propose a framework that uses an…

Operational decisions in healthcare, logistics, and public policy increasingly involve algorithms that recommend candidate solutions, such as treatment plans, delivery routes, or policy options, while leaving the final choice to human…

We study the expected utility portfolio optimization problem in an incomplete financial market where the risky asset dynamics depend on stochastic factors and the portfolio allocation is constrained to lie within a given convex set. We…

Managing investment portfolios is an old and well know problem in multiple fields including financial mathematics and financial engineering as well as econometrics and econophysics. Multiple different concepts and theories were used so far…

This work proposes a novel framework to dynamically and effectively manage and allocate different types of resources for Metaverse applications, which are forecasted to demand massive resources of various types that have never been seen…

Many policies involve dynamics in their treatment assignments, where individuals receive sequential interventions over multiple stages. We study estimation of an optimal dynamic treatment regime that guides the optimal treatment assignment…

A multiagent system may be thought of as an artificial society of autonomous software agents and we can apply concepts borrowed from welfare economics and social choice theory to assess the social welfare of such an agent society. In this…

A dynamical model for the distribution of resources between competing agents is studied. While global competition leads to the accumulation of all the resources by a single agent, local competition allows for a wider resource distribution.…

We address the problem of portfolio optimization under the simplest coherent risk measure, i.e. the expected shortfall. As it is well known, one can map this problem into a linear programming setting. For some values of the external…

We consider a two-road dynamic routing game where the state of one of the roads (the "risky road") is stochastic and may change over time. This generates room for experimentation. A central planner may wish to induce some of the (finite…