Related papers: A Distributed Method for Cooperative Transaction C…
In this paper we present an extremely general method for approximately solving a large family of convex programs where the solution can be divided between different agents, subject to joint differential privacy. This class includes…
This paper presents numerical algorithm and results for pricing a capital protection option offered by many asset managers for investment portfolios to take advantage of market growth and protect savings. Under optimal withdrawal…
Portfolio optimization is a critical task in investment. Most existing portfolio optimization methods require information on the distribution of returns of the assets that make up the portfolio. However, such distribution information is…
In this short note, we will show how to optimize the portfolio of a large trader whose hedging strategy affects the price of his assets.
We consider distributed optimization where $N$ nodes in a connected network minimize the sum of their local costs subject to a common constraint set. We propose a distributed projected gradient method where each node, at each iteration $k$,…
In this paper, we propose a novel distributed alternating direction method of multipliers (ADMM) algorithm with synergetic communication and computation, called SCCD-ADMM, to reduce the total communication and computation cost of the…
Electricity market operators worldwide use mixed-integer linear programming to solve the allocation problem in wholesale electricity markets. Prices are typically determined based on the duals of relaxed versions of this optimization…
This paper studies efficient distributed optimization methods for multi-agent networks. Specifically, we consider a convex optimization problem with a globally coupled linear equality constraint and local polyhedra constraints, and develop…
We develop a model of coordination and allocation of decentralized multi-sided markets, in which our theoretical analysis is promisingly optimizing the decentralized transaction packaging process at high-throughput blockchains or Web 3.0…
A constant rebalanced portfolio is an asset allocation algorithm which keeps the same distribution of wealth among a set of assets along a period of time. Recently, there has been work on on-line portfolio selection algorithms which are…
We study optimal investment problems under the framework of cumulative prospect theory (CPT). A CPT investor makes investment decisions in a single-period financial market with transaction costs. The objective is to seek the optimal…
We build the time series of optimal realized portfolio weights from high-frequency data and we suggest a novel Dynamic Conditional Weights (DCW) model for their dynamics. DCW is benchmarked against popular model-based and model-free…
This paper will propose a novel machine learning based portfolio management method in the context of the cryptocurrency market. Previous researchers mainly focus on the prediction of the movement for specific cryptocurrency such as the…
Transaction costs appear in financial markets in more than one form. There are several results in the literature on small proportional transaction cost and not that many on fixed transaction cost. In the present work, we heuristically study…
We consider a trading marketplace that is populated by traders with diverse trading strategies and objectives. The marketplace allows the suppliers to list their goods and facilitates matching between buyers and sellers. In return, such a…
Differential privacy enables organizations to collect accurate aggregates over sensitive data with strong, rigorous guarantees on individuals' privacy. Previous work has found that under differential privacy, computing multiple correlated…
We introduce a new and increasingly relevant setting for distributed optimization in machine learning, where the data defining the optimization are unevenly distributed over an extremely large number of nodes. The goal is to train a…
The aim of this paper is to investigate the impact of rebalancing frequency and transaction costs on the log-optimal portfolio, which is a portfolio that maximizes the expected logarithmic growth rate of an investor's wealth. We prove that…
In this paper we consider a general problem set-up for a wide class of convex and robust distributed optimization problems in peer-to-peer networks. In this set-up convex constraint sets are distributed to the network processors who have to…
Alternating Direction Method of Multipliers (ADMM) is a popular convex optimization algorithm, which can be employed for solving distributed consensus optimization problems. In this setting agents locally estimate the optimal solution of an…