Related papers: Kelly criterion for variable pay-off
While it is known that shared quantum entanglement can offer improved solutions to a number of purely cooperative tasks for groups of remote agents, controversy remains regarding the legitimacy of quantum games in a competitive setting--in…
We investigate the set of Nash equilibrium payoffs for two person differential games. The main result of the paper is the characterization of the set of Nash equilibrium payoffs in the terms of nonsmooth analysis. Also we obtain the…
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…
It is a common misconception that in order to make consistent profits as a trader, one needs to posses some extra information leading to an asset value estimation more accurate than that reflected by the current market price. While the idea…
We consider games of chance played by someone with external capital that cannot be applied to the game and determine how this affects risk-adjusted optimal betting. Specifically, we focus on Kelly optimization as a metric, optimizing the…
Simple stochastic games can be solved by value iteration (VI), which yields a sequence of under-approximations of the value of the game. This sequence is guaranteed to converge to the value only in the limit. Since no stopping criterion is…
Measuring contributions is a classical problem in cooperative game theory where the Shapley value is the most well-known solution concept. In this paper, we establish the convergence property of the Shapley value in parametric Bayesian…
We study the notion of efficiency for cooperative games on simplicial complexes. In such games, the grand coalition $[n]$ may be forbidden, and, thus, it is a non-trivial problem to study the total number of payoff $v_{\Delta}$ of a…
We study the classic divide-and-choose method for equitably allocating divisible goods between two players who are rational, self-interested Bayesian agents. The players have additive values for the goods. The prior distributions on those…
We establish that the subgame perfect equilibrium (SPE) threshold problem for mean-payoff games is NP-complete. While the SPE threshold problem was recently shown to be decidable (in doubly exponential time) and NP-hard, its exact worst…
In this work, a machine learning approach is developed for predicting the outcomes of football matches. The novelty of this research lies in the utilisation of the Kelly Index to first classify matches into categories where each one denotes…
A simple model for cooperation between "selfish" agents, which play an extended version of the Prisoner's Dilemma(PD) game, in which they use arbitrary payoffs, is presented and studied. A continuous variable, representing the probability…
In this paper we investigate a differential game in which countably many dynamical objects pursue a single one. All the players perform simple motions. The duration of the game is fixed. The controls of a group of pursuers are subject to…
This paper investigates how the discount factor and payoff functions can be identified in stationary infinite-horizon dynamic discrete choice models. In single-agent models, we show that common nonparametric assumptions on per-period…
The so-called pinball loss for estimating conditional quantiles is a well-known tool in both statistics and machine learning. So far, however, only little work has been done to quantify the efficiency of this tool for nonparametric…
When voter preferences are known in an incomplete (partial) manner, winner determination is commonly treated as the identification of the necessary and possible winners; these are the candidates who win in all completions or at least one…
Fisher's criterion is a widely used tool in machine learning for feature selection. For large search spaces, Fisher's criterion can provide a scalable solution to select features. A challenging limitation of Fisher's criterion, however, is…
We consider the repeated prisoner's dilemma (PD). We assume that players make their choices knowing only average payoffs from the previous stages. A player's strategy is a function from the convex hull $\mathfrak{S}$ of the set of payoffs…
Quitting games are one of the simplest stochastic games in which at any stage each player has only two possible actions, continue and quit. The game ends as soon as at least one player chooses to quit. The players then receive a payoff,…
We propose a simple yet rich model to extend the notions of Nash equilibria and correlated equilibria of strategic games to the quantum setting, in which we then study the relations between classical and quantum equilibria. Unlike the…