arXiv:2504.16093q-fin.PMcs.AI2025-04被引 3

用排序和概率模型高效选出最优项目组合,减少评估次数。

Efficient Portfolio Selection through Preference Aggregation with Quicksort and the Bradley--Terry Model

  • 基于快速排序与贝特朗模型设计配对比较规则
  • 新方法在多个指标上优于现有最佳方案
  • 可结合采样技术大幅降低比较次数,适合实际应用

如何在不确定性下分配有限资源以获得最大长期收益,是决策中的常见难题。例如,组织需评估高风险创新项目,资助机构要从众多提案中选出最有前景的,社区也需在参与式预算中选择公共项目。无论场景如何,决策者都需估计大量项目的潜在价值。本文提出基于快速排序与贝特朗模型的比较规则,将项目排名转化为成对“胜率”概率。每位参与者根据自身判断给出项目间胜率,再通过聚合得到整体排序。所提方法在多个测试中表现优于当前最优聚合方法,且可结合采样技术显著减少所需配对比较次数。文中还探讨了该方法的实际实施路径。

原文摘要 · Abstract (English)

How to allocate limited resources to projects that will yield the greatest long-term benefits is a problem that often arises in decision-making under uncertainty. For example, organizations may need to evaluate and select innovation projects with risky returns. Similarly, when allocating resources to research projects, funding agencies are tasked with identifying the most promising proposals based on idiosyncratic criteria. Finally, in participatory budgeting, a local community may need to select a subset of public projects to fund. Regardless of context, agents must estimate the uncertain values of a potentially large number of projects. Developing parsimonious methods to compare these projects, and aggregating agent evaluations so that the overall benefit is maximized, are critical in assembling the best project portfolio. Unlike in standard sorting algorithms, evaluating projects on the basis of uncertain long-term benefits introduces additional complexities. We propose comparison rules based on Quicksort and the Bradley--Terry model, which connects rankings to pairwise "win" probabilities. In our model, each agent determines win probabilities of a pair of projects based on his or her specific evaluation of the projects' long-term benefit. The win probabilities are then appropriately aggregated and used to rank projects. Several of the methods we propose perform better than the two most effective aggregation methods currently available. Additionally, our methods can be combined with sampling techniques to significantly reduce the number of pairwise comparisons. We also discuss how the Bradley--Terry portfolio selection approach can be implemented in practice.

项目选择排序算法概率模型

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