This paper is concerned with a linear control policy for dynamic portfolio selection. We develop this policy by incorporating time-series behaviors of asset returns on the basis of coherent risk minimization. Analyzing the dual form of our optimization model, we demonstrate that the investment...

This paper is concerned with prescriptive price optimization, which integrates machine learning models into price optimization to maximize future revenues or profits of multiple items. The prescriptive price optimization requires accurate demand forecasting models because the prediction accuracy...