Portfolio construction under information asymmetry
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In developed countries, structural assessment of existing bridges should not be performed using the same conservative models that are used at the design stage. Field measurements of real behavior provide additional information for the inference of previous ...
The treatment of two-dimensional random walks in the quarter plane leads to Markov processes which involve semi-infinite matrices having Toeplitz or block Toeplitz structure plus a low-rank correction. We propose an extension of the framework introduced in ...
We propose an online algorithm for sequential learning in the contextual multiarmed bandit setting. Our approach is to partition the context space and, then, optimally combine all of the possible mappings between the partition regions and the set of bandit ...
The central task in many interactive machine learning systems can be formalized as the sequential optimization of a black-box function. Bayesian optimization (BO) is a powerful model-based framework for \emph{adaptive} experimentation, where the primary go ...
Options are some of the most traded financial instruments and computing their price is a central task in financial mathematics and in practice. Consequently, the development of numerical algorithms for pricing options is an active field of research. In gen ...
We present an end-to-end deep Convolutional Neural Network called Convolutional Relational Machine (CRM) for recognizing group activities that utilizes the information in spatial relationsbetween individualpersons in image or video. It learns to produce an ...
This paper focuses on the application of tractable route choice models and presents a set of methods for deriving relevant disaggregate and aggregate route choice indicators, namely link and route flows. Tractability is achieved at the disaggregate level b ...
Multi-server single-message private information retrieval is studied in the presence of side information. In this problem, K independent messages are replicatively stored at N non-colluding servers. The user wants to privately download one message from the ...
This thesis develops models for three problems of liquidity under asymmetric information.
In the chapter "Disclosures, Rollover Risk, and Debt Runs" I build a model of dynamic debt
runs without perfect information in order to understand the impact of asset ...
In the face of demand uncertainty, a monopolist can observe sales as a controlled reaction to its price and advertising so as to improve the choice of this marketing mix in the future. Furthermore, to upgrade its knowledge about demand the firm has the opt ...
