Optimal allocation between bank loans and treasuries with regret.

M. P. Mulaudzi Mark Adam Petersen I. M. Schoeman

Published in: Optim. Lett. (2008)

Keyphrases

optimal allocation
online learning
expert advice
resource allocation
lower bound
credit scoring
worst case
confidence bounds
loss function
regret minimization
social welfare
bandit problems
unequal error protection
reward function
multi armed bandit problems
nash equilibrium
low cost
dynamic programming
np hard