Optimal dynamic resource allocation to prevent defaults

被引：10

作者：

Ayesta, U. ^{[1
,2
,3
]}

Erausquin, M. ^{[3
]}

Ferreira, E. ^{[3
]}

Jacko, P. ^{[4
]}

机构：

[1] Univ Toulouse, CNRS, LAAS, Toulouse, France

[2] Univ Toulouse, LAAS, Toulouse, France

[3] Univ Basque Country, UPV EHU, Bilbao, Spain

[4] Univ Lancaster, Dept Management Sci, Lancaster LA1 4YX, England

来源：

OPERATIONS RESEARCH LETTERS | 2016年 / 44卷 / 04期

关键词：

Markov Decision Processes; Multi-Armed Bandit problem; Default risk management; Dynamic resource allocation policies; STRATEGIC EXPERIMENTATION; LONG-RUN; MODEL;

D O I：

10.1016/j.orl.2016.04.008

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

We consider a resource allocation problem to decide how to share resources among different companies facing financial difficulties. The objective is to minimize the long term cost due to default events. Using the framework of Multi-Armed Restless Bandits, the optimal policy assigns an index value to each company, which orders its priority to be funded. The index generalizes the return-on-investment (ROI) index under the static setting, and we analyse the influence of the future events on the optimal dynamic policy. (C) 2016 Elsevier B.V. All rights reserved.

引用

页码：451 / 456

页数：6

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