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The maximal biclique enumeration problem in bipartite graphs is fundamental and has numerous applications in E-commerce and transaction networks. Most existing studies adopt a branch-and-bound framework, which recursively expands a partial…
We consider digitized-counterdiabatic quantum computing as an advanced paradigm to approach quantum advantage for industrial applications in the NISQ era. We apply this concept to investigate a discrete mean-variance portfolio optimization…
In this paper we apply second-order stochastic dominance (SSD) to the problem of enhanced indexation with asset subset (sector) constraints. The problem we consider is how to construct a portfolio that is designed to outperform a given…
Advancements in quantum computing are fuelling emerging applications across disciplines, including finance, where quantum and quantum-inspired algorithms can now make market predictions, detect fraud, and optimize portfolios. Expanding this…
Pairs-trading is a trading strategy that involves matching a long position with a short position in two stocks aiming at market-neutral profits. While a typical pairs-trading system monitors the prices of two statistically correlated stocks…
This paper considers the constrained portfolio optimization in a generalized life-cycle model. The individual with a stochastic income manages a portfolio consisting of stocks, a bond, and life insurance to maximize his or her consumption…
This dissertation addresses the growing challenge of air traffic flow management by proposing a simulation-based optimization (SbO) approach for multi-objective runway operations scheduling. The goal is to optimize airport capacity…
In this paper, we focus on the problem of optimal portfolio-consumption policies in a multi-asset financial market, where the n risky assets follow Exponential Ornstein-Uhlenbeck processes, along with one risk-free bond. The investor's…
We present an optimal investment theorem for a currency exchange model with random and possibly discontinuous proportional transaction costs. The investor's preferences are represented by a multivariate utility function, allowing for…
We consider an optimal liquidation problem with instantaneous price impact and stochastic resilience for small instantaneous impact factors. Within our modelling framework, the optimal portfolio process converges to the solution of an…
In this article, we analyse optimal statistical arbitrage strategies from stochastic control and optimisation problems for multiple co-integrated stocks with eigenportfolios being factors. Optimal portfolio weights are found by solving a…
We study a dynamic portfolio optimization problem related to convergence trading, which is an investment strategy that exploits temporary mispricing by simultaneously buying relatively underpriced assets and selling short relatively…
This paper proposes multiple extensions to the popular bicriterion transit routing approach -- Trip-Based Transit Routing (TBTR). Specifically, building on the premise of the HypRAPTOR algorithm, we first extend TBTR to its partitioning…
Portfolio optimization plays a central role in finance to obtain optimal portfolio allocations that aim to achieve certain investment goals. Over the years, many works have investigated different variants of portfolio optimization.…
Recent advancements in quantum computing and quantum-inspired algorithms have sparked renewed interest in binary optimization. These hardware and software innovations promise to revolutionize solution times for complex problems. In this…
The travelling salesman problem (TSP) of space trajectory design is complicated by its complex structure design space. The graph based tree search and stochastic seeding combinatorial approaches are commonly employed to tackle the…
We propose a sampling-based trajectory optimization methodology for constrained problems. We extend recent works on stochastic search to deal with box control constraints,as well as nonlinear state constraints for discrete dynamical…
In this paper we consider the problem of minimising drawdown in a portfolio of financial assets. Here drawdown represents the relative opportunity cost of the single best missed trading opportunity over a specified time period. We formulate…
In this work, we deal with the problem of computing a comprehensive front of efficient solutions in multi-objective portfolio optimization problems in presence of sparsity constraints. We start the discussion pointing out some weaknesses of…
The problem of portfolio optimization when stochastic factors drive returns and volatilities has been studied in previous works by the authors. In particular, they proposed asymptotic approximations for value functions and optimal…