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Please use this identifier to cite or link to this item: http://arks.princeton.edu/ark:/88435/dsp01db78tf330
Title: Asymptotically Optimal Sequential Capital Allocation Strategies
Authors: Cao, Wesley
Advisors: Ramadge, Peter
Contributors: Sinai, Yakov
Department: Mathematics
Class Year: 2015
Abstract: Nearly all of the current literature on multi-armed bandits has been dedicated to maximizing the expected sum of samples from a set of distributions. However, it may be more desirable to prioritize risk management in some applications. In this thesis, we propose a new variant of the multi-armed bandit problem that is based on the Kelly Criterion, which derives motivation from portfolio optimization and exhibits desirable risk management properties. We introduce novel algorithms to solve this variant and prove theoretical bounds on the performance of theses algorithms.
Extent: 39 pages
URI: http://arks.princeton.edu/ark:/88435/dsp01db78tf330
Type of Material: Princeton University Senior Theses
Language: en_US
Appears in Collections:Mathematics, 1934-2016

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