相关论文: Project portfolio planning in the pharmaceutical i…

Recently, reinforcement learning has achieved remarkable results in various domains, including robotics, games, natural language processing, and finance. In the financial domain, this approach has been applied to tasks such as portfolio…

Financial markets are complex environments that produce enormous amounts of noisy and non-stationary data. One fundamental problem is online portfolio selection, the goal of which is to exploit this data to sequentially select portfolios of…

We consider the problem of the statistical uncertainty of the correlation matrix in the optimization of a financial portfolio. We show that the use of clustering algorithms can improve the reliability of the portfolio in terms of the ratio…

Inventory management is considered to be an important field in Supply Chain Management because the cost of inventories in a supply chain accounts for about 30 percent of the value of the product. The service provided to the customer…

The dose delivered to the planning target volume by proton beams is highly conformal, sparing organs at risk and normal tissues. New treatment planning systems adapted to spot scanning techniques have been recently proposed to…

This paper examines an optimal investment problem in a continuous-time (essentially) complete financial market with a finite horizon. We deal with an investor who behaves consistently with principles of Cumulative Prospect Theory, and whose…

Public transport is vital for meeting people's mobility needs. Providers need to plan their services well to offer high quality and low cost. Optimized planning can benefit providers, customers, and municipalities. The planning process for…

With almost 50% of annual commercial drug approvals being Personalised Medicine (PM) and its huge potential to improve quality of life, this emerging medical sector has received increased attention from the industry and medical research,…

The organizational knowledge is one of the most important and valuable assets of organizations. In such environment, organizations with broad, specialized and up-to-date knowledge, adequately using knowledge resources, will be more…

The traditional multi-commodity flow problem assumes a given flow network in which multiple commodities are to be maximally routed in response to given demands. This paper considers the multi-commodity flow network-design problem: given a…

Portfolio optimization is a fundamental challenge in quantitative finance, requiring robust computational tools that integrate statistical rigor with practical implementation. We present skfolio, an open-source Python library for portfolio…

Multi-period portfolio optimization is important for real portfolio management, as it accounts for transaction costs, path-dependent risks, and the intertemporal structure of trading decisions that single-period models cannot capture.…

This paper studies an optimal investing problem for a retiree facing longevity risk and living standard risk. We formulate the investing problem as a portfolio choice problem under a time-varying risk capacity constraint. We derive the…

This paper considers the mean variance portfolio management problem. We examine portfolios which contain both primary and derivative securities. The challenge in this context is due to portfolio's nonlinearities. The delta-gamma…

Portfolio optimization has long been dominated by covariance-based strategies, such as the Markowitz Mean-Variance framework. However, these approaches often fail to ensure a balanced risk structure across assets, leading to concentration…

We consider utility maximization in networks where the sources do not employ flow control and may consequently overload the network. In the absence of flow control at the sources, some packets will inevitably have to be dropped when the…

In this paper we develop a concrete and fully implementable approach to the optimization of functionally generated portfolios in stochastic portfolio theory. The main idea is to optimize over a family of rank-based portfolios parameterized…

When modeling the demand in revenue management systems, a natural approach is to focus on a canonical interval of time, such as a week, so that we forecast the demand over each week in the selling horizon. Ideally, we would like to use…

The expanding number of assets offers more opportunities for investors but poses new challenges for modern portfolio management (PM). As a central plank of PM, portfolio selection by expected utility maximization (EUM) faces uncontrollable…

Dose-finding trials are a key component of the drug development process and rely on a statistical design to help inform dosing decisions. Triallists wishing to choose a design require knowledge of operating characteristics of competing…