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math.OC2021
Allocation of Fungible Resources via a Fast, Scalable Price Discovery Method
Akshay Agrawal, Stephen Boyd, Deepak Narayanan +2
We consider the problem of assigning or allocating resources to a set of jobs. We consider the case when the resources are fungible, that is, the job can be done with any mix of th…
math.OC2021
A Certainty Equivalent Merton Problem
Nicholas Moehle, Stephen Boyd
The Merton problem is the well-known stochastic control problem of choosing consumption over time, as well as an investment mix, to maximize expected constant relative risk aversio…