Related papers: Optimal allocation using the Sortino ratio
A decision maker repeatedly chooses one of a finite set of actions. In each period, the decision maker's payoff depends on fixed basic payoff of the chosen action and the frequency with which the action has been chosen in the past. We…
Reducing financial risk is of paramount importance to investors, financial institutions, and corporations. Since the pioneering contribution of Johnson (1960), the optimal hedge ratio based on futures is regularly utilized. The current…
The aims of this study are twofold. First, we consider an optimal risk allocation problem with non-convex preferences. By establishing an infimal representation for distortion risk measures, we give some necessary and sufficient conditions…
Public and private institutions must often allocate scare resources under uncertainty. Banks, for example, extend credit to loan applicants based in part on their estimated likelihood of repaying a loan. But when the quality of information…
Kelly's Criterion is well known among gamblers and investors as a method for maximizing the returns one would expect to observe over long periods of betting or investing. These ideas are conspicuously absent from portfolio optimization…
A constant weight asset allocation is a popular investment strategy and is optimal under a suitable continuous model. We study the tracking error for the target continuous rebalancing strategy by a feasible discrete-in-time rebalancing…
We investigate an application of network centrality measures to portfolio optimization, by generalizing the method in [Pozzi, Di Matteo and Aste, \emph{Spread of risks across financial markets: better to invest in the peripheries},…
Allocation tasks represent a class of problems where a limited amount of resources must be allocated to a set of entities at each time step. Prominent examples of this task include portfolio optimization or distributing computational…
We formulate and study the algorithmic mechanism design problem for a general class of resource allocation settings, where the center redistributes the private resources brought by individuals. Money transfer is forbidden. Distinct from the…
We study a problem of optimal allocation in a discrete-time multi-period pure-exchange economy, where agents have preferences over stochastic endowment processes that are represented by strongly time-consistent dynamic risk measures. We…
We consider a popular model of microeconomics with countably many assets: the Arbitrage Pricing Model. We study the problem of optimal investment under an expected utility criterion and look for conditions ensuring the existence of optimal…
In many risk-aware and multi-objective reinforcement learning settings, the utility of the user is derived from the single execution of a policy. In these settings, making decisions based on the average future returns is not suitable. For…
Optimizing the allocation of units into treatment groups can help researchers improve the precision of causal estimators and decrease costs when running factorial experiments. However, existing optimal allocation results typically assume a…
This paper presents a simple method for a posteriori (historical) multi-variate multi-stage optimal trading under transaction costs and a diversification constraint. Starting from a given amount of money in some currency, we analyze the…
We study an asset allocation stochastic problem with restriction for a defined-contribution pension plan during the accumulation phase. We consider a financial market with stochastic interest rate, composed of a risk-free asset, a real zero…
Statistical arbitrage exploits temporal price differences between similar assets. We develop a framework to jointly identify similar assets through factors, identify mispricing and form a trading policy that maximizes risk-adjusted…
We extend the analysis of investment strategies derived from penalized quantile regression models, introducing alternative approaches to improve state\textendash of\textendash art asset allocation rules. First, we use a post\textendash…
For effective decision support in scenarios with conflicting objectives, sets of potentially optimal solutions can be presented to the decision maker. We explore both what policies these sets should contain and how such sets can be computed…
We study the optimal asset allocation problem for a fund manager whose compensation depends on the performance of her portfolio with respect to a benchmark. The objective of the manager is to maximise the expected utility of her final…
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…