Related papers: Approximating Optimal Asset Allocations using Simu…
We use an optimization procedure based on simulated bifurcation (SB) to solve the integer portfolio and trading trajectory problem with an unprecedented computational speed. The underlying algorithm is based on a classical description of…
Distributed optimization for resource allocation problems is investigated and a sub-optimal continuous-time algorithm is proposed. Our algorithm has lower order dynamics than others to reduce burdens of computation and communication, and is…
We study optimal investment in a financial market having a finite number of assets from a signal processing perspective. We investigate how an investor should distribute capital over these assets and when he should reallocate the…
The main contribution of the paper is to employ the financial market network as a useful tool to improve the portfolio selection process, where nodes indicate securities and edges capture the dependence structure of the system. Three…
Asset management attempts to keep the power system in working conditions. It requires much coordination between multiple entities and long term planning often months in advance. In this work we introduce a mid-term asset management…
Strategic asset allocation requires an investor to select stocks from a given basket of assets. The perspective of our investor is to maximize risk-adjusted alpha returns relative to a benchmark index. Historical returns are used to provide…
We consider the problem of online allocation (matching and assortments) of reusable resources where customers arrive sequentially in an adversarial fashion and allocated resources are used or rented for a stochastic duration that is drawn…
This article studies and solves the problem of optimal portfolio allocation with CV@R penalty when dealing with imperfectly simulated financial assets. We use a Stochastic biased Mirror Descent to find optimal resource allocation for a…
With accelerating urbanization and worsening traffic congestion, optimizing traffic signal systems to improve road throughput and alleviate congestion has become a critical issue. This study proposes a short-term traffic prediction model…
The portfolio optimization problem in which the variances of the return rates of assets are not identical is analyzed in this paper using the methodology of statistical mechanical informatics, specifically, replica analysis. We define two…
We consider the optimization problem of a multi-resource, multi-unit VCG auction that produces an optimal, i.e., non-approximated, social welfare. We present an algorithm that solves this optimization problem with pseudo-polynomial…
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…
In this paper, we consider distributed optimization design for resource allocation problems over weight-balanced graphs. With the help of singular perturbation analysis, we propose a simple sub-optimal continuous-time optimization…
Portfolio optimization is an important process in finance that consists in finding the optimal asset allocation that maximizes expected returns while minimizing risk. When assets are allocated in discrete units, this is a combinatorial…
In this paper, we consider the optimal coordination of automated vehicles at intersections under fixed crossing orders. We formulate the problem using direct optimal control and exploit the structure to construct a semi-distributed…
The paper presents complexity results and performance guaranties for a family of approximation algorithms for an optimisation problem arising in software testing and manufacturing. The problem is formulated as a partitioning of a set where…
We propose a data-driven Neural Network (NN) optimization framework to determine the optimal multi-period dynamic asset allocation strategy for outperforming a general stochastic target. We formulate the problem as an optimal stochastic…
In this paper we consider multiple constrained resource allocation problems, where the constraints can be specified by formulating activity dependency restrictions or by using game-theoretic models. All the problems are focused on generic…
An actively managed portfolio almost never beats the market in the long term. Thus, many investors often resort to passively managed portfolios whose aim is to follow a certain financial index. The task of building such passive portfolios…
In this paper, we propose a stratified sampling algorithm in which the random drawings made in the strata to compute the expectation of interest are also used to adaptively modify the proportion of further drawings in each stratum. These…