Related papers: Diversification and limited information in the Kel…
We consider extensive games with perfect information with well-founded game trees and study the problems of existence and of characterization of the sets of subgame perfect equilibria in these games. We also provide such characterizations…
Betting markets are gaining in popularity. Mean beliefs generally differ from prices in prediction markets. Logarithmic utility is employed to study the risk and return adjustments to prices. Some consequences are described. A modified…
Games with incomplete information are formulated in a multi-sector probability matrix formalism that can cope with quantum as well as classical strategies. An analysis of classical and quantum strategy in a multi-sector extension of the…
We investigate an optimal investment problem with a general performance criterion which, in particular, includes discontinuous functions. Prices are modeled as diffusions and the market is incomplete. We find an explicit solution for the…
Myopic investors are locally rational decision-makers but globally irrational. Their suboptimal portfolios lag the market. As a consequence, other market participants are provided with profit opportunities. Not subterfuge but constrained…
A competitive market is modeled as a game of incomplete information. One player observes some payoff-relevant state and can sell (possibly noisy) messages thereof to the other, whose willingness to pay is contingent on their own beliefs. We…
A common goal in the areas of secure information flow and privacy is to build effective defenses against unwanted leakage of information. To this end, one must be able to reason about potential attacks and their interplay with possible…
In games with incomplete and ambiguous information, rational behavior depends not only on fundamental ambiguity (ambiguity about states) but also on strategic ambiguity (ambiguity about others' actions), which further induces hierarchies of…
Most algorithmic studies on multi-agent information design so far have focused on the restricted situation with no inter-agent externalities; a few exceptions investigated truly strategic games such as zero-sum games and second-price…
In the context of investment analysis, we formulate an abstract online computing problem called a planning game and develop general tools for solving such a game. We then use the tools to investigate a practical buy-and-hold trading problem…
In settings with incomplete information, players can find it difficult to coordinate to find states with good social welfare. For example, in financial settings, if a collection of financial firms have limited information about each other's…
Zero-sum asymmetric games model decision making scenarios involving two competing players who have different information about the game being played. A particular case is that of nested information, where one (informed) player has superior…
This paper presents a novel approach for optimizing betting strategies in sports gambling by integrating Von Neumann-Morgenstern Expected Utility Theory, deep learning techniques, and advanced formulations of the Kelly Criterion. By…
Combinatorial games lead to several interesting, clean problems in algorithms and complexity theory, many of which remain open. The purpose of this paper is to provide an overview of the area to encourage further research. In particular, we…
We investigate the use of Kelly's strategy in the construction of an optimal portfolio of assets. For lognormally distributed asset returns, we derive approximate analytical results for the optimal investment fractions in various settings.…
In financial markets, agents often mutually influence each other's investment strategies and adjust their strategies to align with others. However, there is limited quantitative study of agents' investment strategies in such scenarios. In…
Efforts to apply economic complexity to identify diversification opportunities often rely on diagrams comparing the relatedness and complexity or products, technologies, or industries. Yer, the use of these diagrams is not based on…
The Kelly or proportional allocation mechanism is a simple and efficient auction-based scheme that distributes an infinitely divisible resource proportionally to the agents bids. When agents are aware of the allocation rule, their…
This paper studies incomplete-information games in which an information provider, an oracle, publicly discloses information to the players. One oracle is said to dominate another if, in every game, it can replicate the equilibrium outcomes…
Algorithms for equilibrium computation generally make no attempt to ensure that the computed strategies are understandable by humans. For instance the strategies for the strongest poker agents are represented as massive binary files. In…