The Impact of Short-Sale Constraints on Asset Allocation Strategies via the Backward Markov Chain Approximation Method

This paper considers an asset allocation strategy over a finite period under investment uncertainty and short-sale constraints as a continuous time stochastic control problem. Investment uncertainty is characterised by a stochastic interest rate and inflation risk. If there are no short-sale constraints, the optimal asset allocation strategy can be solved analytically. We consider several kinds of short-sale constraints and employ the backward Markov chain approximation method to explore the impact of short-sale constraints on asset allocation decisions. Our results show that the short-sale constraints do indeed have a significant impact on the asset allocation decisions.

Dynamic Mechanisms without Money

We analyze the optimal design of dynamic mechanisms in the absence of transfers. The designer uses future allocation decisions as a way of eliciting private information. Values evolve according to a two-state Markov chain. We solve for the optimal allocation rule, which admits a simple implementation. Unlike with transfers, efficiency decreases over time, and both immiseration and its polar opposite are possible long-run outcomes. Considering the limiting environment in which time is continuous, we show that persistence hurts

Discrete and Continuous Optimal Control for Energy Minimization in Real-Time Systems

International audienceThis paper presents a discrete time Markov Decision Process (MDP) to compute the optimal speed scaling policy to minimize the energy consumption of a single processor executing a finite set of jobs with real-time constraints. We further show that the optimal solution is the same when speed change decisions are taken at arrival times of the jobs as well as when decisions are taken in continuous time

Model of human collective decision-making in complex environments

A continuous-time Markov process is proposed to analyze how a group of humans solves a complex task, consisting in the search of the optimal set of decisions on a fitness landscape. Individuals change their opinions driven by two different forces: (i) the self-interest, which pushes them to increase their own fitness values, and (ii) the social interactions, which push individuals to reduce the diversity of their opinions in order to reach consensus. Results show that the performance of the group is strongly affected by the strength of social interactions and by the level of knowledge of the individuals. Increasing the strength of social interactions improves the performance of the team. However, too strong social interactions slow down the search of the optimal solution and worsen the performance of the group. In particular, we find that the threshold value of the social interaction strength, which leads to the emergence of a superior intelligence of the group, is just the critical threshold at which the consensus among the members sets in. We also prove that a moderate level of knowledge is already enough to guarantee high performance of the group in making decisions.Comment: 12 pages, 8 figues in European Physical Journal B, 201

A Hierarchy of Scheduler Classes for Stochastic Automata

Stochastic automata are a formal compositional model for concurrent stochastic timed systems, with general distributions and non-deterministic choices. Measures of interest are defined over schedulers that resolve the nondeterminism. In this paper we investigate the power of various theoretically and practically motivated classes of schedulers, considering the classic complete-information view and a restriction to non-prophetic schedulers. We prove a hierarchy of scheduler classes w.r.t. unbounded probabilistic reachability. We find that, unlike Markovian formalisms, stochastic automata distinguish most classes even in this basic setting. Verification and strategy synthesis methods thus face a tradeoff between powerful and efficient classes. Using lightweight scheduler sampling, we explore this tradeoff and demonstrate the concept of a useful approximative verification technique for stochastic automata