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Understanding the dependencies among financial assets is critical for portfolio optimization. Traditional approaches based on correlation networks often fail to capture the nonlinear and directional relationships that exist in financial…
We study the problem of fairly allocating indivisible items to agents with different entitlements, which captures, for example, the distribution of ministries among political parties in a coalition government. Our focus is on picking…
The financial crisis showed the importance of measuring, allocating and regulating systemic risk. Recently, the systemic risk measures that can be decomposed into an aggregation function and a scalar measure of risk, received a lot of…
A strong tool for the selection of items that share a common trait from a set of given items is proposed. The selection method is based on marginal estimates and exploits that the estimates of the standard deviation of the mixing…
In this paper, we present a unified framework for decision making under uncertainty. Our framework is based on the composite of two risk measures, where the inner risk measure accounts for the risk of decision given the exact distribution…
In this paper, we explore the portfolio allocation problem involving an uncertain covariance matrix. We calculate the expected value of the Constant Absolute Risk Aversion (CARA) utility function, marginalized over a distribution of…
Priorities in multi-criteria decision-making (MCDM) convey the relevance preference of one criterion over another, which is usually reflected by imposing the non-negativity and unit-sum constraints. The processing of such priorities is…
We consider a cooperative game defined by an economic lot-sizing problem with heterogeneous costs over a finite time horizon, in which each firm faces demand for a single product in each period and coalitions can pool orders. The model of…
Communities are clusters of nodes with a higher than average density of internal connections. Their detection is of great relevance to better understand the structure and hierarchies present in a network. Modularity has become a standard…
The martingale method is used to establish concentration inequalities for a class of dependent random sequences on a countable state space, with the constants in the inequalities expressed in terms of certain mixing coefficients. Along the…
We study the properties of a subclass of stochastic processes called discrete time nonlinear Markov chains with an aggregator, which naturally appear in various topics such as strategic queueing systems, inventory dynamics, opinion…
We show that the statistics of spreads in real order books is characterized by an intrinsic asymmetry due to discreteness effects for even or odd values of the spread. An analysis of data from the NYSE order book points out that traders'…
Order picking and order packing entail retrieving items from storage and packaging them according to customer requests. These activities have always been the main concerns of the companies in reducing warehouse management costs. This paper…
Given a finite collection of estimators or classifiers, we study the problem of model selection type aggregation, that is, we construct a new estimator or classifier, called aggregate, which is nearly as good as the best among them with…
In this paper we compare the minimums of two independent and heterogeneous samples each following Kumaraswamy-G distribution with the same and the different parent distribution functions. The comparisons are carried out with respect to…
We explore analytically and numerically agglomeration driven by advection and localized source. The system is inhomogeneous in one dimension, viz. along the direction of advection. We analyze a simplified model with mass-independent…
We study robust notions of good-deal hedging and valuation under combined uncertainty about the drifts and volatilities of asset prices. Good-deal bounds are determined by a subset of risk-neutral pricing measures such that not only…
Given an undirected graph representing similarities between a set of items and an additive measure evaluating the items, we treat the position of a special subset of items in an ordinal ranking through a collection of combinatorial…
A relational dataset is often analyzed by optimally assigning a label to each element through clustering or ordering. While similar characterizations of a dataset would be achieved by both clustering and ordering methods, the former has…
Understanding posterior contraction behavior in Bayesian hierarchical models is of fundamental importance, but progress in this question is relatively sparse in comparison to the theory of density estimation. In this paper, we study two…