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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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Optimal dynamic resource allocation to prevent defaults

Research output: Contribution to Journal/Magazine › Journal article › peer-review

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Optimal dynamic resource allocation to prevent defaults. / Ayesta, U.; Erausquin, Martin; Ferreira, E. et al.
In: Operations Research Letters, Vol. 44, No. 4, 07.2016, p. 451-456.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Ayesta, U, Erausquin, M, Ferreira, E & Jacko, P 2016, 'Optimal dynamic resource allocation to prevent defaults', Operations Research Letters, vol. 44, no. 4, pp. 451-456. https://doi.org/10.1016/j.orl.2016.04.008

APA

Ayesta, U., Erausquin, M., Ferreira, E., & Jacko, P. (2016). Optimal dynamic resource allocation to prevent defaults. Operations Research Letters, 44(4), 451-456. https://doi.org/10.1016/j.orl.2016.04.008

Vancouver

Ayesta U, Erausquin M, Ferreira E, Jacko P. Optimal dynamic resource allocation to prevent defaults. Operations Research Letters. 2016 Jul;44(4):451-456. Epub 2016 Apr 27. doi: 10.1016/j.orl.2016.04.008

Author

Ayesta, U. ; Erausquin, Martin ; Ferreira, E. et al. / Optimal dynamic resource allocation to prevent defaults. In: Operations Research Letters. 2016 ; Vol. 44, No. 4. pp. 451-456.

Bibtex

@article{bd66c5add076497992fa08fd622ef177,
title = "Optimal dynamic resource allocation to prevent defaults",
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.",
keywords = "Markov Decision Processes, Multi-Armed Bandit problem, Default risk management, Dynamic resource allocation policies",
author = "U. Ayesta and Martin Erausquin and E. Ferreira and Peter Jacko",
note = "This is the author{\textquoteright}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",
year = "2016",
month = jul,
doi = "10.1016/j.orl.2016.04.008",
language = "English",
volume = "44",
pages = "451--456",
journal = "Operations Research Letters",
issn = "0167-6377",
publisher = "Elsevier",
number = "4",

}

RIS

TY - JOUR

T1 - Optimal dynamic resource allocation to prevent defaults

AU - Ayesta, U.

AU - Erausquin, Martin

AU - Ferreira, E.

AU - Jacko, Peter

N1 - 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

PY - 2016/7

Y1 - 2016/7

N2 - 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.

AB - 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.

KW - Markov Decision Processes

KW - Multi-Armed Bandit problem

KW - Default risk management

KW - Dynamic resource allocation policies

U2 - 10.1016/j.orl.2016.04.008

DO - 10.1016/j.orl.2016.04.008

M3 - Journal article

VL - 44

SP - 451

EP - 456

JO - Operations Research Letters

JF - Operations Research Letters

SN - 0167-6377

IS - 4

ER -