Related papers: Portfolio problems with two levels decision-makers…
Financial portfolio optimization is a widely studied problem in mathematics, statistics, financial and computational literature. It adheres to determining an optimal combination of weights associated with financial assets held in a…
Bilevel programming is one of the very active areas of research with many real-life applications in economics and engineering. Bilevel problems are hierarchical problems consisting of lower-level and upper-level problems, respectively. The…
We prove a general duality result for multi-stage portfolio optimization problems in markets with proportional transaction costs. The financial market is described by Kabanov's model of foreign exchange markets over a finite probability…
This paper studies the joint optimization of edge node activation and resource pricing in edge computing, where an edge computing platform provides heterogeneous resources to accommodate multiple services with diverse preferences. We cast…
We consider a bilevel optimization problem in which the ground set is partitioned between two decision makers, a leader and a follower, whose optimization problems are interleaved. We study the Bilevel Independent Set problem, and its…
Hierarchical decision problems are often modeled as bilevel programs in which a leader commits to a policy and a follower responds optimally. When the follower's optimal response is nonunique, or when only near-optimal follower behavior can…
Optimal execution of a portfolio have been a challenging problem for institutional investors. Traders face the trade-off between average trading price and uncertainty, and traditional methods suffer from the curse of dimensionality. Here,…
In this paper, we investigate a portfolio selection problem with transaction costs under a two-factor stochastic volatility structure, where volatility follows a mean-reverting process with a stochastic mean-reversion level. The model…
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…
In bilevel optimization problems, a leader and a follower make their decisions in a hierarchy, and both decisions may influence each other. Usually one assumes that both players have full knowledge also of the other player's data. In a more…
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…
Bilevel optimization deals with nested problems in which a leader takes the first decision to minimize their objective function while accounting for a follower's best-response reaction. Constrained bilevel problems with integer variables…
We consider a simplified model for optimizing a single-asset portfolio in the presence of transaction costs given a signal with a certain autocorrelation and cross-correlation structure. In our setup, the portfolio manager is given two…
Bilevel optimization, a hierarchical mathematical framework where one optimization problem is nested within another, has emerged as a powerful tool for modeling complex decision-making processes in various fields such as economics,…
This paper considers the finite horizon portfolio rebalancing problem in terms of mean-variance optimization, where decisions are made based on current information on asset returns and transaction costs. The study's novelty is that the…
In this paper, we consider the problem of optimization of a portfolio consisting of securities. An investor with an initial capital, is interested in constructing a portfolio of securities. If the prices of securities change, the investor…
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…
In this short note, we consider mean-variance optimized portfolios with transaction costs. We show that introducing quadratic transaction costs makes the optimization problem more difficult than using linear transaction costs. The reason…
In last-mile delivery logistics, peer-to-peer logistic platforms play an important role in connecting senders, customers, and independent carriers to fulfill delivery requests. Since the carriers are not under the platform's control, the…
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.…