Related papers: The time interpretation of expected utility theory
As a unified theory of sentient behaviour, active inference is formally intertwined with multiple normative theories of optimal behaviour. Specifically, we address what we call the subsumption thesis: The claim that expected utility from…
This paper investigates optimal portfolio strategies in a financial market where the drift of the stock returns is driven by an unobserved Gaussian mean reverting process. Information on this process is obtained from observing stock returns…
We present a minimal agent-based model of interacting agents characterized by their wealth to study taxation and inequality in a non-conservative economy. Wealth evolves through an extremal stochastic replacement process in which the…
Is a causal description of human wealth history conceivable? To investigate the matter we introduce a simple causal albeit strongly aggregated model, assuming that the observed wealth growth is mainly driven by human collaborative efforts…
We study the excess growth rate -- a fundamental logarithmic functional arising in portfolio theory -- from the perspective of information theory. We show that the excess growth rate can be connected to the R\'{e}nyi and cross entropies,…
Autonomous exploration is an application of growing importance in robotics. A promising strategy is ergodic trajectory planning, whereby an agent spends in each area a fraction of time which is proportional to its probability information…
We explore the role of non-ergodicity in the relationship between income inequality, the extent of concentration in the income distribution, and mobility, the feasibility of an individual to change their position in the income distribution.…
We consider a simple sequential allocation procedure for sharing indivisible items between agents in which agents take turns to pick items. Supposing additive utilities and independence between the agents, we show that the expected utility…
We consider the problem of repeatedly choosing policies to maximize social welfare. Welfare is a weighted sum of private utility and public revenue. Earlier outcomes inform later policies. Utility is not observed, but indirectly inferred.…
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…
We derive the first two moments of generic positive stochastic functionals in terms of the one- and two-time probability density functions of the underlying random walk, and we prove ergodicity of observables in stationary random walks.…
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…
Mutually exclusive decisions have been studied for decades. Many well-known decision theories have been defined to help people either to make rational decisions or to interpret people's behaviors, such as expected utility theory, regret…
This paper develops a new model of business cycles. The model is economical in that it is solved with an aggregate demand-aggregate supply diagram, and the effects of shocks and policies are obtained by comparative statics. The model builds…
Interactions between people are the basis on which the structure of our society arises as a complex system and, at the same time, are the starting point of any physical description of it. In the last few years, much theoretical research has…
We propose a random adaptation variant of time-varying distributed averaging dynamics in discrete time. We show that this leads to novel interpretations of fundamental concepts in distributed averaging, opinion dynamics, and distributed…
The temporal evolution of a contagious viral disease is modelled as the dynamic progression of different classes of population with individuals interacting pairwise. This interaction follows a binary mechanism typical of kinetic theory,…
Exponential distribution is ubiquitous in the framework of multi-agent systems. Usually, it appears as an equilibrium state in the asymptotic time evolution of statistical systems. It has been explained from very different perspectives. In…
The paper presents a step forward into the development of the theory of meaning. Stock and financial markets are examined from communication-theoretical perspective on the dynamics of information and meaning. This study focuses on the link…
This survey reviews portfolio selection problem for long-term horizon. We consider two objectives: (i) maximize the probability for outperforming a target growth rate of wealth process (ii) minimize the probability of falling below a target…