determine the capital allocation that minimizes the excesses of sets of portfolios in lexicographical sense. The excess of a set … allocation for which the largest excess is as small as possible. We show that this allocation rule yields a unique allocation …, and that it satisfies some desirable properties. We also show that the allocation can be determined by solving a series of …

determine the capital allocation that minimizes the excesses of sets of portfolios in lexicographical sense. The excess of a set … allocation for which the largest excess is as small as possible. We show that this allocation rule yields a unique allocation …, and that it satisfies some desirable properties. We also show that the allocation can be determined by solving a series of …

RORAC. An insightful example shows that the implementation of classical gradient capital allocation can be suboptimal if …

In this paper, we consider the multi-period joint capacity allocation and job assignment problem. The goal of the … planner is to simultaneously decide on allocating resources across the J different supply nodes, and assigning of jobs of I … test our model against state-of-the-art models that focus solely on the capacity allocation or job assignment decisions, in …