Related papers: Kelly criterion for variable pay-off

The dollar game is a chip-firing game introduced by Baker and Norine (2007) as a context in which to formulate and prove the Riemann-Roch theorem for graphs. A divisor on a graph is a formal integer sum of vertices. Each determines a dollar…

We study a simple adaptive model in the framework of an N -player normal form game. The model consists of a repeated game where the players only know their own action space and their own payoff scored at each stage, not those of the other…

This paper focuses on variable selection for a partially linear single-index varying-coefficient model. A regularized variable selection procedure by combining basis function approximations with SCAD penalty is proposed. It can…

The Lipschitz constant of a finite normal-form game is the maximal change in some player's payoff when a single opponent changes his strategy. We prove that games with small Lipschitz constant admit pure {\epsilon}-equilibria, and pinpoint…

We consider MultiCriteria Decision Analysis models which are defined over discrete attributes, taking a finite number of values. We do not assume that the model is monotonically increasing with respect to the attributes values. Our aim is…

In the window mean-payoff objective, given an infinite path, instead of considering a long run average, we consider the minimum payoff that can be ensured at every position of the path over a finite window that slides over the entire path.…

We study symmetric bimatrix games that also have the common-payoff property, i.e., the two players receive the same payoff at any outcome of the game. Due to the symmetry property, these games are guaranteed to have symmetric Nash…

Matrix games constitute a fundamental problem of game theory and describe a situation of two players with completely conflicting interests. We show how methods from statistical mechanics can be used to investigate the statistical properties…

The paper is devoted to dynamic games. We consider a general enough framework, which is not limited to e.g. differential games and could accommodate both discrete and continuous time. Assuming common dynamics, we study two game families…

We introduce the class of pay or play games, which captures scenarios in which each decision maker is faced with a choice between two actions: one with a fixed payoff and an- other with a payoff dependent on others' selected actions. This…

We demonstrate the usefulness of adding delay to infinite games with quantitative winning conditions. In a delay game, one of the players may delay her moves to obtain a lookahead on her opponent's moves. We show that determining the winner…

Semidefinite programming can be considered over any real closed field, including fields of Puiseux series equipped with their nonarchimedean valuation. Nonarchimedean semidefinite programs encode parametric families of classical…

In game theory, players have continuous expected payoff functions and can use fixed point theorems to locate equilibria. This optimization method requires that players adopt a particular type of probability measure space. Here, we introduce…

Mean-payoff games play a central role in quantitative synthesis and verification. In a single-dimensional game a weight is assigned to every transition and the objective of the protagonist is to assure a non-negative limit-average weight.…

Consider a very simple class of (finite) games: after an initial move by nature, each player makes one move. Moreover, the players have common interests: at each node, all the players get the same payoff. We show that the problem of…

Is there an algorithm that takes a game in normal form as input, and outputs a Nash equilibrium? If the payoffs are integers, the answer is yes, and lot of work has been done in its computational complexity. If the payoffs are permitted to…

We propose a game-theoretic framework that incorporates both incomplete information and general ambiguity attitudes on factors external to all players. Our starting point is players' preferences on payoff-distribution vectors, essentially…

We study the risk criterion for investments based on the drawdown from the maximal value of the capital in the past. Depending on investor's risk attitude, thus his risk exposure, we find that the distribution of these drawdowns follows a…

We investigate the performance of the Kelly rule in a setting in which the dynamics of the return is represented by a time change process. We find that in this general semi-martingale setting the Kelly rule does not maximize the average…

We introduce the concept of attainable sets of payoffs in two-player repeated games with vector payoffs. A set of payoff vectors is called {\em attainable} if player 1 can ensure that there is a finite horizon $T$ such that after time $T$…