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作者：Doan, Xuan Vinh; Li, Xiaobo; Natarajan, Karthik
作者单位：University of Warwick; University of Warwick; University of Minnesota System; University of Minnesota Twin Cities; Singapore University of Technology & Design
摘要：In this paper, we develop a distributionally robust portfolio optimization model where the robustness is across different dependency structures among the random losses. For a Frechet class of discrete distributions with overlapping marginals, we show that the distributionally robust portfolio optimization problem is efficiently solvable with linear programming. To guarantee the existence of a joint multivariate distribution consistent with the overlapping marginal information, we make use of a...
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作者：Jiang, Daniel R.; Powell, Warren B.
作者单位：Princeton University
摘要：Many sequential decision problems can be formulated as Markov decision processes (MDPs) where the optimal value function (or cost-to-go function) can be shown to satisfy a monotone structure in some or all of its dimensions. When the state space becomes large, traditional techniques, such as the backward dynamic programming algorithm (i. e., backward induction or value iteration), may no longer be effective in finding a solution within a reasonable time frame, and thus we are forced to conside...
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作者：Helm, Jonathan E.; Lavieri, Mariel S.; Van Oyen, Mark P.; Stein, Joshua D.; Musch, David C.
作者单位：Indiana University System; IU Kelley School of Business; Indiana University Bloomington; University of Michigan System; University of Michigan; University of Michigan System; University of Michigan
摘要：In managing chronic diseases such as glaucoma, the timing of periodic examinations is crucial, as it may significantly impact patients' outcomes. We address the question of when to monitor a glaucoma patient by integrating a dynamic, stochastic state space system model of disease evolution with novel optimization approaches to predict the likelihood of progression at any future time. Information about each patient's disease state is learned sequentially through a series of noisy medical tests....
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作者：Sandholm, Tuomas; Likhodedov, Anton
作者单位：Carnegie Mellon University; Deutsche Bank
摘要：Designing optimal-that is, revenue-maximizing-combinatorial auctions (CAs) is an important elusive problem. It is unsolved even for two bidders and two items for sale. Rather than pursuing the manual approach of attempting to characterize the optimal CA, we introduce a family of CAs and then seek a high-revenue auction within that family. The family is based on bidder weighting and allocation boosting; we coin such CAs virtual valuations combinatorial auctions (VVCAs). VVCAs are the Vickrey-Cl...
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作者：Huaman-Aguilar, Ricardo; Cadenillas, Abel
作者单位：University of Alberta; University of Alberta
摘要：Motivated by empirical facts, we develop a theoretical model for optimal currency government debt portfolio and debt payments, which allows both government debt aversion and jumps in the exchange rates. We obtain first a realistic stochastic differential equation for public debt and then solve explicitly the optimal currency debt problem. We show that higher debt aversion and jumps in the exchange rates lead to a lower proportion of optimal debt in foreign currencies. Furthermore, we show that...
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作者：Park, Beomsoo; Van Roy, Benjamin
作者单位：Stanford University; Stanford University; Stanford University
摘要：We consider a model in which a trader aims to maximize expected risk-adjusted profit while trading a single security. In our model, each price change is a linear combination of observed factors, impact resulting from the trader's current and prior activity, and unpredictable random effects. The trader must learn coefficients of a price impact model while trading. We propose a new method for simultaneous execution and learning-the confidence-triggered regularized adaptive certainty equivalent (...
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作者：Broadie, Mark; Du, Yiping; Moallemi, Ciamac C.
作者单位：Columbia University; Columbia University; Columbia University
摘要：We introduce a regression-based nested Monte Carlo simulation method for the estimation of financial risk. An outer simulation level is used to generate financial risk factors and an inner simulation level is used to price securities and compute portfolio losses given risk factor outcomes. The mean squared error (MSE) of standard nested simulation converges at the rate k(-2/3), where k measures computational effort. The proposed regression method combines information from different risk factor...
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作者：Luo, Wei; Shang, Kevin
作者单位：University of Navarra; IESE Business School; Duke University
摘要：This paper develops a centralized supply chain model that integrates material flows with cash flows. The supply chain is owned by a single firm with two divisions. The downstream division (headquarters), facing random customer demand, replenishes materials from the upstream division. The firm installs a financial services platform that pools the divisions' cash into a master account managed by the headquarters. In each period, cash is received from customers and paid to the outside vendor afte...
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作者：Secomandi, Nicola
作者单位：Carnegie Mellon University
摘要：Commodity merchants use various heuristics to value leasing contracts on storage facilities as real options and make inventory trading decisions. Two prominent heuristics sequentially reoptimize simple models, leading to the so-called rolling intrinsic (RI) policy and rolling basket of spread options (RSO) policy. The extant literature numerically demonstrates that these two policies are nearly optimal in many realistic settings and can be used with Monte Carlo simulation to obtain fairly accu...
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作者：Siebert, Johannes; Keeney, Ralph L.
作者单位：University of Bayreuth; Duke University
摘要：The quality of alternatives is crucial for making good decisions. This research, based on five empirical studies of important personally relevant decisions, examines the ability of decision makers to create alternatives for their important decisions and the effectiveness of different stimuli for improving this ability. For decisions for which the full set of potentially desirable alternatives is not readily apparent, our first study indicates that decision makers identify less than half of the...
