相关论文: Robust portfolio optimization model for electronic…

In this paper, we present a novel approach for robust optimal resource allocation with joint carrier aggregation to allocate multiple carriers resources optimally among users with elastic and inelastic traffic in cellular networks. We use…

Lately, personalized marketing has become important for retail/e-retail firms due to significant rise in online shopping and market competition. Increase in online shopping and high market competition has led to an increase in promotional…

We study a competitive online optimization problem with multiple inventories. In the problem, an online decision maker seeks to optimize the allocation of multiple capacity-limited inventories over a slotted horizon, while the allocation…

In modern online platforms, incentives are essential factors that enhance user engagement and increase platform revenue. Over recent years, uplift modeling has been introduced as a strategic approach to assign incentives to individual…

Robust optimization provides a principled framework for decision-making under uncertainty, with broad applications in finance, engineering, and operations research. In portfolio optimization, uncertainty in expected returns and covariances…

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…

Financial portfolio optimization is a widely studied problem in mathematics, statistics, financial and computational literature. It adheres to determining an optimal combination of weights associated with financial assets held in a…

Real-world problems typically require the simultaneous optimization of several, often conflicting objectives. Many of these multi-objective optimization problems are characterized by wide ranges of uncertainties in their decision variables…

In this paper we tackle the problem of dynamic portfolio optimization, i.e., determining the optimal trading trajectory for an investment portfolio of assets over a period of time, taking into account transaction costs and other possible…

Problem definition: Traditional monopoly pricing assumes sellers have full information about consumer valuations. We consider monopoly pricing under limited information, where a seller only knows the mean, variance and support of the…

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…

Individual investors are now massively using online brokers to trade stocks with convenient interfaces and low fees, albeit losing the advice and personalization traditionally provided by full-service brokers. We frame the problem faced by…

We present an online approach to portfolio selection. The motivation is within the context of algorithmic trading, which demands fast and recursive updates of portfolio allocations, as new data arrives. In particular, we look at two online…

Bayesian quadrature optimization (BQO) maximizes the expectation of an expensive black-box integrand taken over a known probability distribution. In this work, we study BQO under distributional uncertainty in which the underlying…

The cross-dock door design problem consists of deciding the strip and stack doors and nominal capacity of an entity under uncertainty. Inbound commodity flow from origin nodes is assigned to the strip doors, it is consolidated in the…

In this paper, we consider the chance constrained based uncertain portfolio optimization problem in which the uncertain parameters are stochastic in nature. The primary goal of the work is to formulate the uncertain problem into a…

This paper studies the robust optimal gain selection problem for financial trading systems, formulated within a \emph{double linear policy} framework, which allocates capital across long and short positions. The key objective is to…

We propose a new algorithm for the solution of the robust multiple-load topology optimization problem. The algorithm can be applied to any type of problem, e.g., truss topology, variable thickness sheet or free material optimization. We…

Ranking items to be recommended to users is one of the main problems in large scale social media applications. This problem can be set up as a multi-objective optimization problem to allow for trading off multiple, potentially conflicting…

In this paper we consider multidimensional mechanism design problem for selling discrete substitutable items to a group of buyers. Previous work on this problem mostly focus on stochastic description of valuations used by the seller.…