Related papers: Evaluating gambles using dynamics
We consider an agent interacting with an unknown environment. The environment is a function which maps natural numbers to natural numbers; the agent's set of hypotheses about the environment contains all such functions which are computable…
An important but understudied question in economics is how people choose when facing uncertainty in the timing of events. Here we study preferences over time lotteries, in which the payment amount is certain but the payment time is…
Most people are risk-averse (risk-seeking) when they expect to gain (lose). Based on a generalization of ``expected utility theory'' which takes this into account, we introduce an automaton mimicking the dynamics of economic operations.…
This paper studies the problem of maximizing expected utility from terminal wealth combining a static position in derivative securities, which we assume can be traded only at time zero, with a traditional dynamic trading strategy in stocks.…
This paper is concerned with two-person dynamic zero-sum games. Let games for some family have common dynamics, running costs and capabilities of players, and let these games differ in densities only. We show that the Dynamic Programming…
Under certain circumstances such as lack of information or bounded rationality, human players can take decisions on which strategy to choose in a game on the basis of simple opinions. These opinions can be modified after each round by…
Agents often have individual goals which depend on a group's actions. If agents trust a forecast of collective action and adapt strategically, such prediction can influence outcomes non-trivially, resulting in a form of performative…
In the seminal work [9], several macroscopic market observables have been introduced, in an attempt to find characteristics capturing the diversity of a financial market. Despite the crucial importance of such observables for investment…
This study presents a rigorous mathematical approach to the optimization of round and betting policies in Blackjack, using Markov Decision Processes (MDP) and Expected Utility Theory. The analysis considers a direct confrontation between a…
Sharpe et al. proposed the idea of having an expected utility maximizer choose a probability distribution for future wealth as an input to her investment problem instead of a utility function. They developed a computer program, called The…
For gambling on horses, a one-parameter family of utility functions is proposed, which contains Kelly's logarithmic criterion and the expected-return criterion as special cases. The strategies that maximize the utility function are derived,…
A central question in multi-agent strategic games deals with learning the underlying utilities driving the agents' behaviour. Motivated by the increasing availability of large data-sets, we develop an unifying data-driven technique to…
Game theoretic equilibria are mathematical expressions of rationality. Rational agents are used to model not only humans and their software representatives, but also organisms, populations, species and genes, interacting with each other and…
This paper considers a dynamic game with transferable utilities (TU), where the characteristic function is a continuous-time bounded mean ergodic process. A central planner interacts continuously over time with the players by choosing the…
Over the past few decades, many works have studied the evolutionary dynamics of continuous games. However, previous works have primarily focused on two-player games with pairwise interactions. Indeed, group interactions rather than pairwise…
A valuation for a player in a game in extensive form is an assignment of numeric values to the players moves. The valuation reflects the desirability moves. We assume a myopic player, who chooses a move with the highest valuation.…
A network game assigns a level of collectively generated wealth to every network that can form on a given set of players. A variable network game combines a network game with a network formation probability distribution, describing certain…
Influence diagrams provide a compact graphical representation of decision problems. Several algorithms for the quick computation of their associated expected utilities are available in the literature. However, often they rely on a full…
Purpose: We propose a model to present a possible mechanism for obtaining sizeable behavioural structures by simulating an agent based on the evolutionary public good game with available social learning. Methods: The model considered a…
We introduce a general framework for continuous-time betting markets, in which a bookmaker can dynamically control the prices of bets on outcomes of random events. In turn, the prices set by the bookmaker affect the rate or intensity of…