Related papers: Generalizing the Kelly strategy
In this paper, we consider $n$ agents who invest in a general financial market that is free of arbitrage and complete. The aim of each investor is to maximize her expected utility while ensuring, with a specified probability, that her…
Utility and risk are two often competing measurements on the investment success. We show that efficient trade-off between these two measurements for investment portfolios happens, in general, on a convex curve in the two dimensional space…
We apply Blackwell optimality to repeated games. An equilibrium whose strategy profile is sequentially rational for all high enough discount factors simultaneously is a Blackwell (subgame-perfect, perfect public, etc.) equilibrium. The bite…
We consider the robust exponential utility maximization problem in discrete time: An investor maximizes the worst case expected exponential utility with respect to a family of nondominated probabilistic models of her endowment by…
We consider a generalization of the recursive utility model by adding a new component that represents utility of investment gains and losses. We also study the utility process in this generalized model with constant elasticity of…
This article studies the problem of utility maximization in an incomplete market under a class of nonlinear expectations and general constraints on trading strategies. Using a $g$-martingale method, we provide an explicit solution to our…
In an arbitrage-free simple market, we demonstrate that for a class of state-dependent exponential utilities, there exists a unique prediction of the random risk aversion that ensures the consistency of optimal strategies across any time…
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…
Pseudo-games are a natural and well-known generalization of normal-form games, in which the actions taken by each player affect not only the other players' payoffs, as in games, but also the other players' strategy sets. The solution…
We present several new characterizations of correlated equilibria in games with continuous utility functions. These have the advantage of being more computationally and analytically tractable than the standard definition in terms of…
The existence of optimal strategy in robust utility maximization is addressed when the utility function is finite on the entire real line. A delicate problem in this case is to find a "good definition" of admissible strategies, so that an…
We establish fundamental connections between utility theories of wealth from the economic sciences and information-theoretic quantities. In particular, we introduce operational tasks based on betting where both gambler and bookmaker have…
We consider the problem of optimal investment with random endowment in a Black--Scholes market for an agent with constant relative risk aversion. Using duality arguments, we derive an explicit expression for the optimal trading strategy,…
This paper studies an optimal investment and consumption problem with heterogeneous consumption of basic and luxury goods, together with the choice of time for retirement. The utility for luxury goods is not necessarily a concave function.…
The main purpose of this study is to introduce a semi-classical model describing betting scenarios in which, at variance with conventional approaches, the payoff of the gambler is encoded into the internal degrees of freedom of a quantum…
We study power utility maximization for exponential L\'evy models with portfolio constraints, where utility is obtained from consumption and/or terminal wealth. For convex constraints, an explicit solution in terms of the L\'evy triplet is…
This paper considers a time-varying game with $N$ players. Every time slot, players observe their own random events and then take a control action. The events and control actions affect the individual utilities earned by each player. The…
We develop horizon-aware anytime-valid tests and confidence sequences for bounded means under a strict deadline $N$. Using the betting/e-process framework, we cast horizon-aware betting as a finite-horizon optimal control problem with state…
In Reinforcement Learning (RL), the goal of agents is to discover an optimal policy that maximizes the expected cumulative rewards. This objective may also be viewed as finding a policy that optimizes a linear function of its state-action…
We consider a continuous-time game-theoretic model of an investment market with short-lived assets and endogenous asset prices. The first goal of the paper is to formulate a stochastic equation which determines wealth processes of investors…