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On Optimal Portfolios of Dynamic Resource Allocations
We consider the optimal allocation of generic resources among multiple
generic entities of interest over a finite planning horizon, where each entity
generates stochastic returns as a function of its resource allocation during
each period. The main objective is to maximize the expected return while at the
same time managing risk to an acceptable level for each period. We devise a
general solution framework and establish how to obtain the optimal dynamic
resource allocation.Comment: 19 page