Optimal Dynamic Asset Allocation Problems: New Approaches for Managing Input Data Uncertainty
Abstract
This project explores classes of optimal dynamic asset allocation problems. The framework for these problems considers how to assign sequentially arriving tasks to entities such that a function of the total reward collected is optimized. Precise input data and information required to address these problems make them difficult to use in real-world settings. To overcome this obstacle, two basic research directions will be pursued to provide provably optimal assignment policies under a variety of input data uncertainty conditions.
Document Details
- Document Type
- DoD Grant Award
- Publication Date
- Mar 23, 2016
- Source ID
- FA95501510100
Entities
People
- Sheldon H. Jacobson
Organizations
- Air Force Office of Scientific Research
- United States Air Force
- University of Illinois Urbana–Champaign