Related papers: On Kelly Betting: Some Limitations
Sequences of repeated gambles provide an experimental tool to characterize the risk preferences of humans or artificial decision-making agents. The difficulty of this inference depends on factors including the details of the gambles offered…
Algorithmic predictions are increasingly informing societal resource allocations by identifying individuals for targeting. Policymakers often build these systems with the assumption that by gathering more observations on individuals, they…
Aggregating risks from multiple sources can be complex and demanding, and decision makers usually adopt heuristics to simplify the evaluation process. This paper axiomatizes two closed related and yet different heuristics, narrow bracketing…
The purpose of this research paper it is to present a new approach in the framework of a biased roulette wheel. It is used the approach of a quantitative trading strategy, commonly used in quantitative finance, in order to assess the…
We study a sequential resource allocation problem between a fixed number of arms. On each iteration the algorithm distributes a resource among the arms in order to maximize the expected success rate. Allocating more of the resource to a…
We determine Kelly criterion for a game with variable pay-off. The Kelly fraction satisfies a fundamental integral equation and is smaller than the classical Kelly fraction for the same game with the constant average pay-off.
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 problem of finding optimal strategies that maximize the average growth-rate of multiplicative stochastic processes. For a geometric Brownian motion the problem is solved through the so-called Kelly criterion, according to…
In this work we consider an agent based model in order to study the wealth distribution problem where the interchange is determined with a symmetric zero sum game. Simultaneously, the agents update their way of play trying to learn the…
The paper points at the grieving problems implied by the richness axiom in the Kleinberg's axiomatic system and suggests resolutions. The richness induces learnability problem in general and leads to conflicts with consistency axiom. As a…
It is well-known that there are a number of relations between theoretical finance theory and information theory. Some of these relations are exact and some are approximate. In this paper we will explore some of these relations and determine…
We study the basic allocation problem of assigning resources to players so as to maximize fairness. This is one of the few natural problems that enjoys the intriguing status of having a better estimation algorithm than approximation…
The aim of this short note is to establish a limit theorem for the optimal trading strategies in the setup of the utility maximization problem with proportional transaction costs. This limit theorem resolves the open question from [4]. The…
A portfolio of different stocks and a risk-less security whose composition is dynamically maintained stable by trading shares at any time step leads to a growth of the capital with a nonrandom rate. This is the key for the theory of…
The distributed task allocation problem, as one of the most interesting distributed optimization challenges, has received considerable research attention recently. Previous works mainly focused on the task allocation problem in a population…
We study paycheck optimization, which examines how to allocate income in order to achieve several competing financial goals. For paycheck optimization, a quantitative methodology is missing, due to a lack of a suitable problem formulation.…
We study a sequential resource allocation problem involving a fixed number of recurring jobs. At each time-step the manager should distribute available resources among the jobs in order to maximise the expected number of completed jobs.…
In recent years many important societal decisions are made by machine-learning algorithms, and many such important decisions have strict capacity limits, allowing resources to be allocated only to the highest utility individuals. For…
A continuous-time consumption-investment model with constraint is considered for a small investor whose decisions are the consumption rate and the allocation of wealth to a risk-free and a risky asset with logarithmic Brownian motion…
Focusing on gains & losses relative to a risk-free benchmark instead of terminal wealth, we consider an asset allocation problem to maximize time-consistently a mean-risk reward function with a general risk measure which is i)…