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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