Related papers: Diversification and limited information in the Kel…

We study optimal portfolio choice models in markets with partial information about the stock's drift. We solve the single agent problem for general utilities using a new approach that yields regularity of the value function and closed form…

Recently, in [K.R. Apt and S. Simon: Well-founded extensive games with perfect information, TARK21], we studied well-founded games, a natural extension of finite extensive games with perfect information in which all plays are finite. We…

We analyze incomplete-information games where an oracle publicly shares information with players. One oracle dominates another if, in every game, it can match the set of equilibrium outcomes induced by the latter. Distinct characterizations…

The use of game theoretic methods for control in multiagent systems has been an important topic in recent research. Valid utility games in particular have been used to model real-world problems; such games have the convenient property that…

In information theory, one area of interest is gambling, where mutual information characterizes the maximal gain in wealth growth rate due to knowledge of side information; the betting strategy that achieves this maximum is named the Kelly…

It is well-known that there are a number of relations between theoretical finance theory and information theory. Some of these relations are exact and some are approximate. In this paper we will explore some of these relations and determine…

We provide a self-contained introduction to finite extensive games with perfect information. In these games players proceed in turns having, at each stage, finitely many moves to their disposal, each play always ends, and in each play the…

Following a series of works on capital growth investment, we analyse log-optimal portfolios where the return evaluation includes `weights' of different outcomes. The results are twofold: (A) under certain conditions, the logarithmic growth…

This paper develops a novel econometric framework for static discrete choice games with costly information acquisition. In traditional discrete games, players are assumed to perfectly know their own payoffs when making decisions, ignoring…

There has been a recent surge of interest in the role of information in strategic interactions. Much of this work seeks to understand how the realized equilibrium of a game is influenced by uncertainty in the environment and the information…

In this paper, we investigate informational asymmetries in the Colonel Blotto game, a game-theoretic model of competitive resource allocation between two players over a set of battlefields. The battlefield valuations are subject to…

We consider imperfect information stochastic games where we require the players to use pure (i.e. non randomised) strategies. We consider reachability, safety, B\"uchi and co-B\"uchi objectives, and investigate the existence of…

Equity premium, the surplus returns of stocks over bonds, has been an enduring puzzle. While numerous prior works approach the problem assuming the utility of money is invariant across contexts, our approach implies that in efficient…

We analyze different ways of pairing agents in a bipartite matching problem, with regard to its scaling properties and to the distribution of individual ``satisfactions''. Then we explore the role of partial information and bounded…

Using the duality techniques introduced by De Meyer (1996a, 1996b), De Meyer and Marino (2005) provided optimal strategies for both players in finitely repeated games with incomplete information on two sides, in the independent case. In…

We consider how an agent should update her uncertainty when it is represented by a set $\P$ of probability distributions and the agent observes that a random variable $X$ takes on value $x$, given that the agent makes decisions using the…

Consider a gambling game in which we are allowed to repeatedly bet a portion of our bankroll at favorable odds. We investigate the question of how to minimize the expected number of rounds needed to increase our bankroll to a given target…

Kelly betting is a prescription for optimal resource allocation among a set of gambles which are typically repeated in an independent and identically distributed manner. In this setting, there is a large body of literature which includes…

We study a class of two-player repeated games with incomplete information and informational externalities. In these games, two states are chosen at the outset, and players get private information on the pair, before engaging in repeated…

We study linear-quadratic games of incomplete information with Gaussian uncertainty, where each player's payoff depends on a privately observed type and a common state. The designer observes the state, elicits types, and sells action…