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作者：Bo, Lijun; Capponi, Agostino
作者单位：Chinese Academy of Sciences; University of Science & Technology of China, CAS; Columbia University
摘要：We introduce a dynamic credit portfolio framework where optimal investment strategies are robust against misspecifications of the reference credit model. The risk-averse investor models his fear of credit risk misspecification by considering a set of plausible alternatives whose expected log likelihood ratios are penalized. We provide an explicit characterization of the optimal robust bond investment strategy, in terms of default state dependent value functions associated with the max-min robu...
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作者：Vegh, Laszlo A.
作者单位：University of London; London School Economics & Political Science
摘要：A strongly polynomial algorithm is given for the generalized flow maximization problem. It uses a new variant of the scaling technique called continuous scaling. The main measure of progress is that within a strongly polynomial number of steps, an arc can be identified that must be tight in every dual optimal solution and thus can be contracted. As a consequence of the result, we also obtain a strongly polynomial algorithm for the linear feasibility problem with at most two nonzero entries per...
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作者：Yokoi, Yu
作者单位：University of Tokyo
摘要：Classified stable matching, proposed by Huang, describes a matching model between academic institutes and applicants, in which each institute has upper and lower quotas on classes, i.e., subsets of applicants. Huang showed that the problem to decide whether there exists a stable matching or not is NP-hard in general. On the other hand, he showed that the problem is solvable if classes form a laminar family. For this case, Fleiner and Kamiyama gave a concise interpretation in terms of matroids ...
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作者：Zhao, Yun-Bin; Luo, Zhi-Quan
作者单位：University of Birmingham; University of Minnesota System; University of Minnesota Twin Cities
摘要：The l(0)-minimization problem that seeks the sparsest point of a polyhedral set is a long-standing, challenging problem in the fields of signal and image processing, numerical linear algebra, and mathematical optimization. The weighted l(1)-method is one of the most plausible methods for solving this problem. In this paper we develop a new weighted l(1)-method through the strict complementarity theory of linear programs. More specifically, we show that locating the sparsest point of a polyhedr...
