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作者：Li, Kai; Liu, Jun
作者单位：Macquarie University; Southwestern University of Finance & Economics - China; University of California System; University of California San Diego
摘要：We explicitly solve for the optimal dynamic trading strategy between a riskless asset and a risky asset with momentum. The optimal portfolio weight depends not only on the momentum, as in Merton???s framework, but also on the historical price path; this contrasts with Merton. Because of their path dependence, optimal portfolio weights have a wide distribution for a given level of momentum; for example, investors may short the risky asset if it has rebound price paths but leverage if it has hum...
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作者：Pichler, Alois; Liu, Rui Peng; Shapiro, Alexander
作者单位：Technische Universitat Chemnitz; University System of Georgia; Georgia Institute of Technology
摘要：This paper addresses time consistency of risk-averse optimal stopping in stochastic optimization. It is demonstrated that time-consistent optimal stopping entails a specific structure of the functionals describing the transition between consecutive stages. The stopping risk measures capture this structural behavior and allow natural dynamic equations for risk-averse decision making over time. Consequently, associated optimal policies satisfy Bellman's principle of optimality, which characteriz...
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作者：Marks, Christopher Edward; Zaman, Tauhid
作者单位：Massachusetts Institute of Technology (MIT); The Charles Stark Draper Laboratory, Inc.; Yale University
摘要：In many instances, one may want to gain situational awareness in an environment by monitoring the content of local social media users. Often the challenge is how to build a set of users from a target location. Here, we introduce a method for building such a set of users by using an expand-classify approach, which begins with a small set of seed users from the target location and then iteratively collects their neighbors and classifies their locations. We perform this classification using maxim...
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作者：Segev, Danny
作者单位：Tel Aviv University
摘要：The main contribution of this paper resides in proposing a carefully crafted dynamic programming approach for capacitated assortment optimization under the nested logit model in its utmost generality. Specifically, we show that the optimal revenue can be efficiently approached within any degree of accuracy by synthesizing ideas related to continuous-state dynamic programming, state space discretization, and sensitivity analysis of modified revenue functions. These developments allow us to devi...
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作者：Jiang, Nan; Xie, Weijun
作者单位：Virginia Polytechnic Institute & State University
摘要：In a chance constrained program (CCP), decision makers seek the best decision whose probability of violating the uncertainty constraints is within the prespecified risk level. As a CCP is often nonconvex and is difficult to solve to optimality, much effort has been devoted to developing convex inner approximations for a CCP, among which the conditional value-at-risk (CVaR) has been known to be the best for more than a decade. This paper studies and generalizes the ALSO-X, originally proposed b...
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作者：Satopaa, Ville A.
作者单位：INSEAD Business School
摘要：Forecasters predicting the chances of a future event may disagree because of differing evidence or noise. To harness the collective evidence of the crowd, we propose a Bayesian aggregator that is regularized by analyzing the forecasters' disagreement and ascribing overdispersion to noise. Our aggregator requires no user intervention and can be computed efficiently even for a large number of predictions. To illustrate, we evaluate our aggregator on subjective probability predictions collected d...
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作者：Guiotto, Paolo; Roncoroni, Andrea
作者单位：University of Padua; ESSEC Business School
摘要：We develop a normative framework for the optimal design, value assessment, and risk management integration of combined custom contingent claims. A risk-averse firm faces a mix of financially insurable and noninsurable risk. The firm seeks optimal positioning in a pair of custom claims, one written on the insurable term and another written on any listed index correlated to the noninsurable term. We prove that a unique optimum always exists unless the index is redundant and show that the optimal...
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作者：Song, Jing-Sheng; Xiao, Li; Zhang, Hanqin; Zipkin, Paul
作者单位：Duke University; Tsinghua University; Tsinghua Shenzhen International Graduate School; National University of Singapore
摘要：We study an inventory system with multiple supply sources and expediting options. The replenishment lead times from each supply source are stochastic, representing congestion and disruption. We construct a family of smart ordering and expediting policies that utilize real-time supply information. Such dynamic policies are generally difficult to evaluate, because the corresponding supply system is a tandem queue with state-dependent arrivals and routing, whose queue-length steady-state distribu...
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作者：Ayesta, Urtzi; Bodas, Tejas; Dorsman, Jan-Pieter L.; Verloop, Ina Maria
作者单位：Universite de Toulouse; Universite Toulouse III - Paul Sabatier; Centre National de la Recherche Scientifique (CNRS); Universite Federale Toulouse Midi-Pyrenees (ComUE); Institut National Polytechnique de Toulouse; Basque Foundation for Science; Universite Federale Toulouse Midi-Pyrenees (ComUE); Universite de Toulouse; Institut National Polytechnique de Toulouse; Centre National de la Recherche Scientifique (CNRS); CNRS - Institute of Physics (INP); University of Basque Country; Indian Institute of Technology System (IIT System); Indian Institute of Technology (IIT) - Dharwad; University of Amsterdam
摘要：We study a token-based central queue with multiple customer types. Customers of each type arrive according to a Poisson process and have an associated set of compatible tokens. Customers may only receive service when they have claimed a compatible token. If, upon arrival, more than one compatible token is available, then an assignment rule determines which token will be claimed. The service rate obtained by a customer is state-dependent, that is, it depends on the set of claimed tokens and on ...
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作者：Light, Bar; Weintraub, Y. Gabriel
作者单位：Stanford University
摘要：The standard solution concept for stochastic games is Markov perfect equi-librium; however, its computation becomes intractable as the number of players increases. Instead, we consider mean field equilibrium (MFE), which has been popularized in recent literature. MFE takes advantage of averaging effects in models with a large number of players. We make three main contributions. First, our main result provides conditions that ensure the uniqueness of an MFE. We believe this uniqueness result is...
