相关论文: Optimal supply against fluctuating demand
In this note, we define a Gaussian probability distribution over matrices. We prove some useful properties of this distribution, namely, the fact that marginalization, conditioning, and affine transformations preserve the matrix Gaussian…
The literature on "mechanism design from samples," which has flourished in recent years at the interface of economics and computer science, offers a bridge between the classic computer-science approach of worst-case analysis (corresponding…
We consider a popular model of microeconomics with countably many assets: the Arbitrage Pricing Model. We study the problem of optimal investment under an expected utility criterion and look for conditions ensuring the existence of optimal…
In this paper, we discuss the ambiguous chance constrained based portfolio optimization problems, in which the perturbations associated with the input parameters are stochastic in nature, but their distributions are not known precisely. We…
This work is entirely devoted to compare the largest claims from two heterogeneous portfolios. It is assumed that the claim amounts in an insurance portfolio are nonnegative absolutely continuous random variables and belong to a general…
In this paper, we study the asymptotic distribution of the maxima of suprema of dependent Gaussian processes with trend. For different scales of the time horizon we obtain different normalizing functions for the convergence of the maxima.…
We investigate the sub-Gaussian property for almost surely bounded random variables. If sub-Gaussianity per se is de facto ensured by the bounded support of said random variables, then exciting research avenues remain open. Among these…
We consider portfolio optimization under a preference model in a single-period, complete market. This preference model includes Yaari's dual theory of choice and quantile maximization as special cases. We characterize when the optimal…
In this paper, we consider the portfolio optimization problem in a financial market under a general utility function. Empirical results suggest that if a significant market fluctuation occurs, invested wealth tends to have a notable change…
This paper investigates the optimal consumption, investment, and life insurance/annuity decisions for a family in an inflationary economy under money illusion. The family can invest in a financial market that consists of nominal bonds,…
The paper studies the problem of auction design in a setting where the auctioneer accesses the knowledge of the valuation distribution only through statistical samples. A new framework is established that combines the statistical decision…
We study linear chance-constrained problems where the coefficients follow a Gaussian mixture distribution. We provide mixed-binary quadratic programs that give inner and outer approximations of the chance constraint based on piecewise…
We propose a novel sparse spectrum approximation of Gaussian process (GP) tailored for Bayesian optimization. Whilst the current sparse spectrum methods provide desired approximations for regression problems, it is observed that this…
In "Recognizing the Maximum of a Sequence", Gilbert and Mosteller analyze a full information game where n measurements from an uniform distribution are drawn and a player (knowing n) must decide at each draw whether or not to choose that…
The key idea of this model is that firms are the result of an evolutionary process. Based on demand and supply considerations the evolutionary model presented here derives explicitly Gibrat's law of proportionate effects as the result of…
Income inequality is known to have negative impacts on an economic system, thus has been debated for a hundred years past or more. Numerous ideas have been proposed to quantify income inequality, and the Gini coefficient is a prevalent…
Probabilistic forecasting in combination with stochastic programming is a key tool for handling the growing uncertainties in future energy systems. Derived from a general stochastic programming formulation for the optimal scheduling and…
We consider an ideal closed stock market, in which 100 traders have economic activities. The assets of the traders change through buying and selling stocks. We simulate the assets under conservation of both total currency and total number…
We design an optimal strategy for investment in a portfolio of assets subject to a multiplicative Brownian motion. The strategy provides the maximal typical long-term growth rate of investor's capital. We determine the optimal fraction of…
We consider an original problem that arises from the issue of security analysis of a power system and that we name optimal discovery with probabilistic expert advice. We address it with an algorithm based on the optimistic paradigm and the…