Related papers: The time interpretation of expected utility theory

We consider a sequence of repeated interactions between an agent and an environment. Uncertainty about the environment is captured by a probability distribution over a space of hypotheses, which includes all computable functions. Given a…

Growing economic inequalities are observed in several countries throughout the world. Following Pareto, the power-law structure of these inequalities has been the subject of much theoretical and empirical work. But their nonequilibrium…

Recently, ergodic control has been suggested as a means to guide mobile sensors for information gathering tasks. In ergodic control, a mobile sensor follows a trajectory that is ergodic with respect to some information density distribution.…

Reinforcement Learning (RL) remains a central optimisation framework in machine learning. Although RL agents can converge to optimal solutions, the definition of ``optimality'' depends on the environment's statistical properties. The…

A perfectly rational decision-maker chooses the best action with the highest utility gain from a set of possible actions. The optimality principles that describe such decision processes do not take into account the computational costs of…

We consider a problem of optimal investment with intermediate consumption and random endowment in an incomplete semimartingale model of a financial market. We establish the key assertions of the utility maximization theory assuming that…

The contradiction between physical and economical sciences concerning the growth of the production/consumption mechanism is analyzed. It is then shown that if one wishes to keep the security level stable or to enhance it in a growing…

We study the problem of a planner who resolves risk-return trade-offs - like financial investment decisions - on behalf of a collective of agents with heterogeneous risk preferences. The planner's objective is a two-stage utility functional…

We analyze the household savings problem in a general setting where returns on assets, non-financial income and impatience are all state dependent and fluctuate over time. All three processes can be serially correlated and mutually…

Theory of evolutionary computation (EC) aims at providing mathematically founded statements about the performance of evolutionary algorithms (EAs). The predominant topic in this research domain is runtime analysis, which studies the time it…

In this study, an ergodic environment exploration problem is introduced for a centralized multi-agent system. Given the reference distribution represented by the Mixture of Gaussian (MoG), the ergodicity is achieved when the time-averaged…

This paper studies optimal consumption and saving decisions under uncertainty about the transition dynamics of the economic environment. We consider a general optimal savings problem in which the exogenous state governing discounting,…

We provide an economic interpretation of the practice consisting in incorporating risk measures as constraints in a classic expected return maximization problem. For what we call the infimum of expectations class of risk measures, we show…

The distribution of wealth among the members of a society is herein assumed to result from two fundamental mechanisms, trade and investment. An empirical distribution of wealth shows an abrupt change between the low-medium range, that may…

For those concerned with the long-term value of their accounts, it can be a challenge to plan in the present for inflation-adjusted economic growth over coming decades. Here, I argue that there exists an economic constant that carries…

Strategy evaluation schemes are a crucial factor in any agent-based market model, as they determine the agents' strategy preferences and consequently their behavioral pattern. This study investigates how the strategy evaluation schemes…

We consider an agent who invests in a stock and a money market account with the goal of maximizing the utility of his investment at the final time T in the presence of a proportional transaction cost. The utility function considered is…

In this paper, we propose a new class of optimization problems, which maximize the terminal wealth and accumulated consumption utility subject to a mean variance criterion controlling the final risk of the portfolio. The multiple-objective…

We propose a novel kinetic exchange model differing from previous ones in two main aspects. First, the basic dynamics is modified in order to represent economies where immediate wealth exchanges are carried out, instead of reshufflings or…

Our computational economic analysis investigates the relationship between inequality, mobility and the financial accumulation process. Extending the baseline model by Levy et al., we characterise the economic process through stylised return…