相关论文: On Optimal Portfolios of Dynamic Resource Allocati…
We consider an online resource allocation problem where multiple resources, each with an individual initial capacity, are available to serve random requests arriving sequentially over multiple discrete time periods. At each time period, one…
This paper studies a type of periodic utility maximization for portfolio management in an incomplete market model, where the underlying price diffusion process depends on some external stochastic factors. The portfolio performance is…
We introduce a novel theoretical framework for Return On Investment (ROI) maximization in repeated decision-making. Our setting is motivated by the use case of companies that regularly receive proposals for technological innovations and…
This paper investigates the problem of ensembling multiple strategies for sequential portfolios to outperform individual strategies in terms of long-term wealth. Due to the uncertainty of strategies' performances in the future market, which…
Resource allocation is the process of optimizing the rare resources. In the area of security, how to allocate limited resources to protect a massive number of targets is especially challenging. This paper addresses this resource allocation…
The existence of optimal strategy in robust utility maximization is addressed when the utility function is finite on the entire real line. A delicate problem in this case is to find a "good definition" of admissible strategies, so that an…
We consider a general formulation of the Principal-Agent problem with a lump-sum payment on a finite horizon, providing a systematic method for solving such problems. Our approach is the following: we first find the contract that is optimal…
We consider an investor, whose portfolio consists of a single risky asset and a risk free asset, who wants to maximize his expected utility of the portfolio subject to managing the Value at Risk (VaR) assuming a heavy tailed distribution of…
We define and study a class of resources allocation processes where $gN$ agents, by repeatedly visiting $N$ resources, try to converge to optimal configuration where each resource is occupied by at most one agent. The process exhibits a…
We consider the distributed optimization problem, where a group of agents work together to optimize a common objective by communicating with neighboring agents and performing local computations. For a given algorithm, we use tools from…
Motivated by practical applications, we explore the constrained multi-period mean-variance portfolio selection problem within a market characterized by a dynamic factor model. This model captures predictability in asset returns driven by…
Dynamic max-min fair allocation (DMMF) is a simple and popular mechanism for the repeated allocation of a shared resource among competing agents: in each round, each agent can choose to request or not for the resource, which is then…
Stochastic optimization problems often involve data distributions that change in reaction to the decision variables. This is the case for example when members of the population respond to a deployed classifier by manipulating their features…
This paper studies a continuous-time portfolio selection problem under a general distribution of random risk aversion (RRA). We provide a complete characterization of all deterministic equilibrium strategies in closed form. Our results show…
Assume (1) asset returns follow a stochastic multi-factor process with time-varying conditional expectations; (2) investments are linear functions of factors. This paper calculates asymptotic joint moments of the logarithm of investor's…
Modern data centers are tasked with processing heterogeneous workloads consisting of various classes of jobs. These classes differ in their arrival rates, size distributions, and job parallelizability. With respect to paralellizability,…
Decision making problems are typically concerned with maximizing efficiency. In contrast, we address problems where there are multiple stakeholders and a centralized decision maker who is obliged to decide in a fair manner. Different…
Optimal allocation of resources across sub-units in the context of centralized decision-making systems such as bank branches or supermarket chains is a classical application of operations research and management science. In this paper, we…
The problem of portfolio optimization is one of the most important issues in asset management. This paper proposes a new dynamic portfolio strategy based on the time-varying structures of MST networks in Chinese stock markets, where the…
We consider a portfolio allocation problem for trend following (TF) strategies on multiple correlated assets. Under simplifying assumptions of a Gaussian market and linear TF strategies, we derive analytical formulas for the mean and…