Related papers: Game-Theoretic Optimal Portfolios for Jump Diffusi…
This paper is devoted to study the optimal portfolio problem. Harry Markowitz's Ph.D. thesis prepared the ground for the mathematical theory of finance. In modern portfolio theory, we typically find asset returns that are modeled by a…
We formulate a new class of two-person zero-sum differential games, in a stochastic setting, where a specification on a target terminal state distribution is imposed on the players. We address such added specification by introducing…
In games for which there exists a potential, the deviation-from-rationality dynamical model for which each agent's strategy adjustment follows the gradient of the potential along with a normally distributed random perturbation, is shown to…
This paper considers a two-person zero-sum continuous-time Markov pure jump game in Borel state and action spaces over a fixed finite horizon. The main assumption on the model is the existence of a drift function, which bounds the reward…
In this paper, we study the optimal dividend problem under the continuous time diffusion model with the bounded dividend rate from the Reinforcement Learning (RL) perspective. Unlike the standard literature, our main focus will be on…
This paper examines an optimal investment problem in a continuous-time (essentially) complete financial market with a finite horizon. We deal with an investor who behaves consistently with principles of Cumulative Prospect Theory, and whose…
Consider an investor trading dynamically to maximize expected utility from terminal wealth. Our aim is to study the dependence between her risk aversion and the distribution of the optimal terminal payoff. Economic intuition suggests that…
In the paper we present a model of discrete-time mean-field game with several populations of players. Mean-field games with multiple populations of the players have only been studied in the literature in the continuous-time setting. The…
In this paper we study the long time behaviour of mean field games systems with fractional diffusion, modeling the case that the individual dynamics of the players is driven by independent jump processes and controlled through the drift…
We have studied numerically the statistical mechanics of the dynamic phenomena, including money circulation and economic mobility, in some transfer models. The models on which our investigations were performed are the basic model proposed…
Models of adaptive bet-hedging commonly adopt insights from Kelly's famous work on optimal gambling strategies and the financial value of information. In particular, such models seek evolutionary solutions that maximize long term average…
The assumptions of necessary rationality and necessary knowledge of strategies, also known as perfect prediction, lead to at most one surviving outcome, immune to the knowledge that the players have of them. Solutions concepts implementing…
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 study the optimal dividend problem in the dual model where dividend payments can only be made at the jump times of an independent Poisson process. In this context, Avanzi et al. [5] solved the case with i.i.d. hyperexponential jumps;…
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 consider a classical stochastic control problem in which a diffusion process is controlled by a withdrawal process up to a termination time. The objective is to maximize the expected discounted value of the withdrawals until the…
We study optimal investment in a financial market having a finite number of assets from a signal processing perspective. We investigate how an investor should distribute capital over these assets and when he should reallocate the…
The timing of strategic exit is one of the most important but difficult business decisions, especially under competition and uncertainty. Motivated by this problem, we examine a stochastic game of exit in which players are uncertain about…
In this paper, we consider a risk-based optimal investment problem of an insurer in a regime-switching jump diffusion model with noisy memory. Using the model uncertainty modeling, we formulate the investment problem as a zero-sum,…
We investigate multi-round team competitions between two teams, where each team selects one of its players simultaneously in each round and each player can play at most once. The competition defines an extensive-form game with perfect…