Skip to main content
SpringerLink
Log in

Competitive solutions for on-line financial problems

  • Chapter
  • First Online:
Online Algorithms

Part of the book series: Lecture Notes in Computer Science ((LNCS,volume 1442))

This is a preview of subscription content, log in via an institution to check access.

Access this chapter

Log in via an institution

Institutional subscriptions

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. M. Ajtai, N. Megiddo, and O. Waarts. Improved algorithms and analysis for secretary problems and generalizations. In Proceedings of the 36th Annual Symposium on Foundations of Computer Science, pages 473–482, 1995.

    Google Scholar 

  2. P. Auer, N. Cesa-Bianchi, Y. Freund, and R.E. Schapire. Gambling in a rigged casino: The adversarial multi-armed bandit problem. In Proceedings of the 36th Annual Symposium on Foundations of Computer Science, pages 322–331, 1995.

    Google Scholar 

  3. B. Awerbuch, Y. Azar, A. Fiat, and T. Leighton. Making commitments in the face of uncertainty: How to pick a winner almost every time. In Proceedings of the 28th Annual ACM Symposium on Theory of Computing, 1996.

    Google Scholar 

  4. Y. Azar, Y. Bartal, E. Feuerstein, A. Fiat, S. Leonardi, and A. Rosén. On capital investment. In Proceedings of ICALP 96, 1996.

    Google Scholar 

  5. R. Bellman. Equipment replacement policy. Journal of the Society for Industrial and Applied Mathematics, 3:133–136, 1955.

    Google Scholar 

  6. S. Ben-David, A. Borodin, R. Karp, G. Tardos, and A. Widgerson. On the power of randomization in on-line algorithms. In Proc. 22nd Symposium on Theory of Algorithms, pages 379–386, 1990.

    Google Scholar 

  7. D. Blackwell. An analog of the minimax theorem for vector payoffs. Pacific J. Math., 6:1–8, 1956.

    Google Scholar 

  8. L. Breiman. Optimal gambling systems for favorable games. In Proceedings of the Fourth Berkeley Symposium on Mathematical Statistics and Probability, volume 1, pages 65–78. Univ. of California Press, Berkeley, 1961.

    Google Scholar 

  9. A. Chou. Optimal trading strategies vs. a statistical adversary. Master's thesis, Massachusetts Institute of Technology, 1994.

    Google Scholar 

  10. A. Chou, J. Cooperstock, R. El-Yaniv, M. Klugerman, and T. Leighton. The statistical adversary allows optimal money-making trading strategies. In Proceedings of the 6th Annual ACM-SIAM Symposium on Discrete Algorithms, 1995.

    Google Scholar 

  11. A. Chou, A. Shrivastava, and R. Sidney. On the power of magnitude. to be published, May 1995.

    Google Scholar 

  12. Y.S. Chow, H. Robbins, and D. Siegmund. The Theory of Optimal Stopping. Dover Publications, Inc., 1971.

    Google Scholar 

  13. T.M. Cover. Universal portfolios. Mathematical Finance, 1(1):1–29, January 1991.

    Google Scholar 

  14. T.M. Cover and D.H. Gluss. Empirical Bayes stock market portfolios. Advances in Applied Mathematics, 7:170–181, 1986.

    Article  Google Scholar 

  15. T.M. Cover and E. Ordentlich. Universal portfolios with side information. IEEE Transactions on Information Theory, March 1996.

    Google Scholar 

  16. T.M. Cover and J.A. Thomas. Elements of Information Theory. John Wiley & Sons, Inc., 1991.

    Google Scholar 

  17. J. Cox and M. Rubinstein. Options Markets. Prentice Hall, Inc., 1985.

    Google Scholar 

  18. C. Derman. On optimal replacement rules when changes of the state are Markovian. In R. Bellman, editor, Mathematical Optimization Techniques. 1963.

    Google Scholar 

  19. R. El-Yaniv. On the decision theoretic foundations of the competitive ratio, June 1996. unpublished manuscript.

    Google Scholar 

  20. R. El-Yaniv, A. Fiat, R. Karp, and G. Turpin. Competitive analysis of financial games. In Proc. 33rd Symposium on Foundations of Computer Science, pages 327–333, 1992.

    Google Scholar 

  21. R. El-Yaniv, R. Kaniel, and N. Linial. On the equipment rental problem. to be published, August 1993.

    Google Scholar 

  22. R. El-Yaniv and R.M. Karp. Nearly optimal competitive online replacement policies. Submitted to Matematics of Operations Research. A preliminary version of this article appeard in the proceedings of the 2nd Israel Symposium on Theory of Computing and Systems, 1996.

    Google Scholar 

  23. P.R. Freeman. The secretary problem and its extensions. International Statistical Review, 51:189–206, 1983.

    Google Scholar 

  24. R.L. Graham. Bounds for certain multiprocessor anomalies. Bell System Technical Journal, 45:1563–1581, 1966.

    Google Scholar 

  25. S. Hart and A. Mas-Colell. Correlated learning. unpublished manuscript, March 1996.

    Google Scholar 

  26. J. Hull. Options, Futures, and other Derivative Securities. Prentice Hall, Inc., 1993.

    Google Scholar 

  27. S. Irani and D. Ramanathan. The problem of renting versus buying. unpublished manuscript, August 1994.

    Google Scholar 

  28. F. Jamshidian. Asymptotically optimal portfolios. Mathematical Finance, 2(2):131–150, 1992.

    Google Scholar 

  29. D.S. Johnson. Near-Optimal Bin Packing Algorithms. PhD thesis, Massachusetts Institute of Technology, 1973.

    Google Scholar 

  30. D.S. Johnson, A. Demers, J.D. Ullman, M.R. Garey, and R.L. Graham. Worstcase performance bounds for simple one-dimensional packing algorithms. SIAM Journal on Computing, 3:299–325, 1974.

    Google Scholar 

  31. R.M. Karp, R. Ostrovski, and Y. Rabani, 1993. Personal communication.

    Google Scholar 

  32. H.W. Kuhn. Extensive games and the problem of information. In H.W. Kuhn and A.W. Tucker, editors, Contribution to the Theory of Games, volume II, pages 193–216. Princeton University Press, 1953.

    Google Scholar 

  33. D. Levhari and L.J. Mirman. Saving and uncertainty with an uncertain horizon. Journal of Political Economy, 85:265–281, 1977.

    Google Scholar 

  34. L. Levin, July 1994. personal communication.

    Google Scholar 

  35. S.A. Lippman and J.J. McCall. The economics of job search: A survey. Economic Inquiry, XIV: 155–189, June 1976.

    Google Scholar 

  36. S.A. Lippman and J.J. McCall. The economics of uncertainty: Selected topics and probabilistic methods. In K.J. Arrow and M.D. Intriligator, editors, Handbook of Mathematical Economics, volume 1, chapter 6, pages 211–284. North-Holland, 1981.

    Google Scholar 

  37. R.C. Merton. On the microeconomic theory of investment under uncertainty. In K.J. Arrow and M.D. Intriligator, editors, Handbook of Mathematical Economics, volume 2, chapter 13, pages 601–669. North-Holland, 1981.

    Google Scholar 

  38. L.J. Mirman. Uncertainty and optimal consumption decisions. Econometrica, 39:179–185, 1971.

    Google Scholar 

  39. E. Ordentlich and T.M. Cover. On-line portfolio selection. In COLT 96, 1996. A journal version is to be submitted to Mathematics of Operations Research.

    Google Scholar 

  40. P. Raghavan. A statistical adversary for on-line algorithms. Dimacs Series in Discrete Mathematics and Theoretical Computer Science, 7:79–83, 1992.

    Google Scholar 

  41. D.B. Rosenfield and R.D. Shapiro. Optimal price search with Bayesian extensions. Journal of Economic Theory, 1981.

    Google Scholar 

  42. H.E. Scarf. A survey of analytic techniques in inventory theory. In H.E. Scarf, D.M. Gilford, and M.W. Shelly, editors, Multistage Inventory Models and Techniques, chapter 7, pages 185–225. Stanford University Press, 1963.

    Google Scholar 

  43. E. Sheshinski and Y. Weiss. Optimum pricing policy under stochastic inflation. In E. Sheshinski and Y. Weiss, editors, Optimal Pricing, Inflation and the Cost of Price Adjustment. The MIT Press, 1993.

    Google Scholar 

  44. A.G. Shilling. Market timing: Better than a buy-and-hold strategy. Financial Analysts Journal, pages 46–50, March–April 1992.

    Google Scholar 

  45. D. Sleator and R. E. Tarjan. Amortized efficiency of list update and paging rules. Communications of the ACM, 28:202–208, 1985.

    Article  Google Scholar 

  46. N.L. Stokey and R.E. Lucas, Jr. Recursive Methods in Economic Dynamics, chapter 13, pages 389–413. Harvard University Press, 1989.

    Google Scholar 

  47. A.C. Yao. New algorithms for bin packing. Journal of the ACM, 27:207–227, 1980.

    Article  Google Scholar 

Download references

Authors
  1. Ran El-Yaniv
    View author publications

    You can also search for this author in PubMed Google Scholar

Editor information

Amos Fiat Gerhard J. Woeginger

Rights and permissions

Reprints and permissions

Copyright information

© 1998 Springer-Verlag Berlin Heidelberg

About this chapter

Cite this chapter

El-Yaniv, R. (1998). Competitive solutions for on-line financial problems. In: Fiat, A., Woeginger, G.J. (eds) Online Algorithms. Lecture Notes in Computer Science, vol 1442. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0029576

Download citation

  • DOI: https://doi.org/10.1007/BFb0029576

  • Published:

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-64917-5

  • Online ISBN: 978-3-540-68311-7

  • eBook Packages: Springer Book Archive

Publish with us

Policies and ethics

Search

Navigation