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    Rights statement: This is the author’s version of a work that was accepted for publication in Operations Research Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Operations Research Letters, 44, 4, 2016 DOI: 10.1016/j.orl.2016.04.008

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    Available under license: CC BY-NC-ND: Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License

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Optimal dynamic resource allocation to prevent defaults

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<mark>Journal publication date</mark>07/2016
<mark>Journal</mark>Operations Research Letters
Issue number4
Volume44
Number of pages6
Pages (from-to)451-456
Publication StatusPublished
Early online date27/04/16
<mark>Original language</mark>English

Abstract

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.

Bibliographic note

This is the author’s version of a work that was accepted for publication in Operations Research Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Operations Research Letters, 44, 4, 2016 DOI: 10.1016/j.orl.2016.04.008