相关论文: Optimal Allocation Strategies for the Dark Pool Pr…

Much work in the parimutuel betting literature has discussed estimating event outcome probabilities or developing optimal wagering strategies, particularly for horse race betting. Some betting pools, however, involve betting not just on a…

A {log-optimal} portfolio is any portfolio that maximizes the expected logarithmic growth (ELG) of an investor's wealth. This maximization problem typically assumes that the information of the true distribution of returns is known to the…

Electric power distribution systems will encounter fluctuations in supply due to the introduction of renewable sources with high variability in generation capacity. It is therefore necessary to provide algorithms that are capable of…

In this paper we study a revenue maximization problem for optical routing nodes. We model the routing node as a single server polling model with the aim to assign visit periods (service windows) to the different stations (ports) such that…

This paper studies some unconventional utility maximization problems when the ratio type relative portfolio performance is periodically evaluated over an infinite horizon. Meanwhile, the agent is prohibited from short-selling stocks. Our…

We study allocation problems without monetary transfers where agents have correlated types, i.e., hold private information about one another. Such peer information is relevant in various settings, including science funding, allocation of…

We consider the optimal allocation of generic resources among multiple generic entities of interest over a finite planning horizon, where each entity generates stochastic returns as a function of its resource allocation during each period.…

The optimal replication strategy for incomplete markets is obtained by solving a system of partial differential equations. In this paper, we study existence and uniqueness of the solution in suitable Sobolev spaces and propose a numerical…

We classify, according to their computational complexity, integer optimization problems whose constraints and objective functions are polynomials with integer coefficients and the number of variables is fixed. For the optimization of an…

It is demonstrated how dynamic storage allocation algorithms can be analyzed in terms of finite size scaling. The method is illustrated in the three simple cases of the it first-fit, next-fit and it best-fit algorithms, and the system works…

We tackle the problem of partitioning players into groups of fixed size, such as allocating eligible students to shared dormitory rooms. Each student submits preferences over the other individual students. We study several settings, which…

Distributed resource allocation is a central task in network systems such as smart grids, water distribution networks, and urban transportation systems. When solving such problems in practice it is often important to have nonasymptotic…

We consider the problem of reserving link capacity in a network in such a way that any of a given set of flow scenarios can be supported. In the optimal capacity reservation problem, we choose the reserved link capacities to minimize the…

We continue to investigate the use of quantum computers for building an optimal portfolio out of a universe of 60 U.S. listed, liquid equities. Starting from historical market data, we apply our unique problem formulation on the D-Wave…

The optimal allocation of resources for maximizing influence, spread of information or coverage, has gained attention in the past years, in particular in machine learning and data mining. But in applications, the parameters of the problem…

Consider a setting where selfish agents are to be assigned to coalitions or projects from a fixed set P. Each project k is characterized by a valuation function; v_k(S) is the value generated by a set S of agents working on project k. We…

This paper investigates the application of Simulated Bifurcation algorithms to approximate optimal asset allocations. It will provide the reader with an explanation of the physical principles underlying the method and a Python…

We examine the problem of optimal portfolio allocation within the framework of utility theory. We apply exponential utility to derive the optimal diversification strategy and logarithmic utility to determine the optimal leverage. We enhance…

For many users of Satisfiability Modulo Theories (SMT) solvers, the solver's performance is the main bottleneck in their application. One promising approach for improving performance is to leverage the increasing availability of parallel…

We study a fair division problem with indivisible items, namely the computation of maximin share allocations. Given a set of $n$ players, the maximin share of a single player is the best she can guarantee to herself, if she would partition…