Horizon-unbiased Investment with Ambiguity

In the presence of ambiguity on the driving force of market randomness, we consider the dynamic portfolio choice without any predetermined investment horizon. The investment criteria is formulated as a robust forward performance process, reflecting an investor's dynamic preference. We show that the market risk premium and the utility risk premium jointly determine the investors' trading direction and the worst-case scenarios of the risky asset's mean return and volatility. The closed-form formulas for the optimal investment strategies are given in the special settings of the CRRA preference

FlexAuc: Serving Dynamic Demands in a Spectrum Trading Market with Flexible Auction

In secondary spectrum trading markets, auctions are widely used by spectrum holders (SHs) to redistribute their unused channels to secondary wireless service providers (WSPs). As sellers, the SHs design proper auction schemes to stimulate more participants and maximize the revenue from the auction. As buyers, the WSPs determine the bidding strategies in the auction to better serve their end users. In this paper, we consider a three-layered spectrum trading market consisting of the SH, the WSPs and the end users. We jointly study the strategies of the three parties. The SH determines the auction scheme and spectrum supplies to optimize its revenue. The WSPs have flexible bidding strategies in terms of both demands and valuations considering the strategies of the end users. We design FlexAuc, a novel auction mechanism for this market to enable dynamic supplies and demands in the auction. We prove theoretically that FlexAuc not only maximizes the social welfare but also preserves other nice properties such as truthfulness and computational tractability.Comment: 11 pages, 7 figures, Preliminary version accepted in INFOCOM 201