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Structured Hedging for Resource Allocations with Leverage

Published: 10 August 2015 Publication History

Abstract

Data mining algorithms for computing solutions to online resource allocation (ORA) problems have focused on budgeting resources currently in possession, e.g., investing in the stock market with cash on hand or assigning current employees to projects. In several settings, one can leverage borrowed resources with which tasks can be accomplished more efficiently and cheaply. Additionally, a variety of opposing allocation types or positions may be available with which one can hedge the allocation to alleviate risk from external changes. In this paper, we present a formulation for hedging online resource allocations with leverage and propose an efficient data mining algorithm (SHERAL). We pose the problem as a constrained online convex optimization problem. The key novel components of our formulation are (1) a loss function for general leveraging and opposing allocation positions and (2) a penalty function which hedges between structurally dependent allocation positions to control risk. We instantiate the problem in the context of portfolio selection and evaluate the effectiveness of the formulation through extensive experiments on five datasets in comparison with existing algorithms and several variants.

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Cited By

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  • (2018)Deep Co-Investment Network Learning for Financial Assets2018 IEEE International Conference on Big Knowledge (ICBK)10.1109/ICBK.2018.00014(41-48)Online publication date: Nov-2018
  • (2016)Relief of Spatiotemporal Accessibility Overloading with Optimal Resource Placement2016 IEEE 16th International Conference on Data Mining (ICDM)10.1109/ICDM.2016.0017(61-70)Online publication date: Dec-2016

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  1. Structured Hedging for Resource Allocations with Leverage

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    cover image ACM Conferences
    KDD '15: Proceedings of the 21th ACM SIGKDD International Conference on Knowledge Discovery and Data Mining
    August 2015
    2378 pages
    ISBN:9781450336642
    DOI:10.1145/2783258
    Permission to make digital or hard copies of all or part of this work for personal or classroom use is granted without fee provided that copies are not made or distributed for profit or commercial advantage and that copies bear this notice and the full citation on the first page. Copyrights for components of this work owned by others than ACM must be honored. Abstracting with credit is permitted. To copy otherwise, or republish, to post on servers or to redistribute to lists, requires prior specific permission and/or a fee. Request permissions from [email protected]

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    Published: 10 August 2015

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    Author Tags

    1. finance
    2. online learning
    3. structured learning

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    KDD '15 Paper Acceptance Rate 160 of 819 submissions, 20%;
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    • (2018)Deep Co-Investment Network Learning for Financial Assets2018 IEEE International Conference on Big Knowledge (ICBK)10.1109/ICBK.2018.00014(41-48)Online publication date: Nov-2018
    • (2016)Relief of Spatiotemporal Accessibility Overloading with Optimal Resource Placement2016 IEEE 16th International Conference on Data Mining (ICDM)10.1109/ICDM.2016.0017(61-70)Online publication date: Dec-2016

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