Related papers: Ergodicity-breaking reveals time optimal decision …
Evolutionary game theory is a successful mathematical framework geared towards understanding the selective pressures that affect the evolution of the strategies of agents engaged in interactions with potential conflicts. While a…
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…
Bellman formulated a vague principle for optimization over time, which characterizes optimal policies by stating that a decision maker should not regret previous decisions retrospectively. This paper addresses time consistency in stochastic…
In this paper, we present a novel model to characterize individual tendencies in repeated decision-making scenarios, with the goal of designing model-based control strategies that promote virtuous choices amidst social and external…
An analyst observes an agent take a sequence of actions. The analyst does not have access to the agent's information and ponders whether the observed actions could be justified through a rational Bayesian model with a known utility…
Optimization of decision problems in stochastic environments is usually concerned with maximizing the probability of achieving the goal and minimizing the expected episode length. For interacting agents in time-critical applications,…
This paper considers a dynamic game with transferable utilities (TU), where the characteristic function is a continuous-time bounded mean ergodic process. A central planner interacts continuously over time with the players by choosing the…
Economists often estimate economic models on data and use the point estimates as a stand-in for the truth when studying the model's implications for optimal decision-making. This practice ignores model ambiguity, exposes the decision…
We consider a version of large population games whose players compete for resources using strategies with adaptable preferences. The system efficiency is measured by the variance of the decisions. In the regime where the system can be…
Simple agent based exchange models are a commonplace in the study of wealth distribution of artificial societies. Generally, each agent is characterized by its wealth and by a risk-aversion factor, and random exchanges between agents allow…
Forecasting accuracy is routinely optimised in financial prediction tasks even though investment and risk-management decisions are executed under transaction costs, market impact, capacity limits, and binding risk constraints. This paper…
Perfectly rational decision-makers maximize expected utility, but crucially ignore the resource costs incurred when determining optimal actions. Here we employ an axiomatic framework for bounded rational decision-making based on a…
In the manuscript, we are interested in using kinetic theory to better understand the time evolution of wealth distribution and their large scale behavior such as the evolution of inequality (e.g. Gini index). We investigate three type of…
Motivated by the trade-off between exploitation and exploration in reinforcement learning, we study a continuous-time entropy-regularized mean variance portfolio selection problem in the presence of jumps. We propose an exploratory SDE for…
We consider the problem of robustly maximizing the growth rate of investor wealth in the presence of model uncertainty. Possible models are all those under which the assets' region $E$ and instantaneous covariation $c$ are known, and where…
Minimizing volatility and adjustment costs is of central importance in many economic environments, yet it is often complicated by evolving feasibility constraints. We study a decision maker who repeatedly selects an action from a…
Groups of humans are often able to find ways to cooperate with one another in complex, temporally extended social dilemmas. Models based on behavioral economics are only able to explain this phenomenon for unrealistic stateless matrix…
The comparative statics of the optimal portfolios across individuals is carried out for a continuous-time complete market model, where the risky assets price process follows a joint geometric Brownian motion with time-dependent and…
A sequential decision-making agent balances between exploring to gain new knowledge about an environment and exploiting current knowledge to maximize immediate reward. For environments studied in the traditional literature, optimal…
Tasks that require information about the world imply a trade-off between the time spent on observation and the variance of the response. In particular, fast decisions need to rely on uncertain information. However, standard estimates of…