Related papers: Personal Finance Decisions with Untruthful Advisor…
We introduce a microscopic model of interacting financial agents, where each agent is characterized by two portfolios; money invested in bonds and money invested in stocks. Furthermore, each agent is faced with an optimization problem in…
We consider a market impact game for $n$ risk-averse agents that are competing in a market model with linear transient price impact and additional transaction costs. For both finite and infinite time horizons, the agents aim to minimize a…
We develop an equilibrium framework that relaxes the standard assumption that people have a correctly-specified view of their environment. Each player is characterized by a (possibly misspecified) subjective model, which describes the set…
We apply control theoretic and optimization techniques to adaptively design incentives. In particular, we consider the problem of a planner with an objective that depends on data from strategic decision makers. The planner does not know the…
Designing a financial market that works well is very important for developing and maintaining an advanced economy, but is not easy because changing detailed rules, even ones that seem trivial, sometimes causes unexpected large impacts and…
Even when confronted with the same data, agents often disagree on a model of the real-world. Here, we address the question of how interacting heterogenous agents, who disagree on what model the real-world follows, optimize their trading…
This paper studies an optimal investment-consumption problem for competitive agents with exponential or power utilities and a common finite time horizon. Each agent regards the average of habit formation and wealth from all peers as…
We introduce a strategic behavior in reinsurance bilateral transactions, where agents choose the risk preferences they will appear to have in the transaction. Within a wide class of risk measures, we identify agents' strategic choices to a…
Correlated equilibria arise naturally when agents communicate or rely on intermediaries such as recommendation systems. We study when a given Nash equilibrium can be improved within the set of correlated equilibria for general objectives.…
In network formation games, agents form edges with each other to maximize their utility. Each agent's utility depends on its private beliefs and its edges in the network. Strategic agents can misrepresent their beliefs to get a better…
Agent-based modeling is a powerful simulation technique to understand the collective behavior and microscopic interaction in complex financial systems. Recently, the concept for determining the key parameters of the agent-based models from…
Based on criteria of mathematical simplicity and consistency with empirical market data, a model with volatility driven by fractional noise has been constructed which provides a fairly accurate mathematical parametrization of the data.…
We consider multi-agent decision making, where each agent optimizes its cost function subject to constraints. Agents' actions belong to a compact convex Euclidean space and the agents' cost functions are coupled. We propose a distributed…
We investigate a portfolio selection problem involving multi competitive agents, each exhibiting mean-variance preferences. Unlike classical models, each agent's utility is determined by their relative wealth compared to the average wealth…
In single-agent Markov decision processes, an agent can optimize its policy based on the interaction with environment. In multi-player Markov games (MGs), however, the interaction is non-stationary due to the behaviors of other players, so…
Within a common arbitrage-free semimartingale financial market we consider the problem of determining all Nash equilibrium investment strategies for $n$ agents who try to maximize the expected utility of their relative wealth. The utility…
We introduce and study a computational version of the principal-agent problem -- a classic problem in Economics that arises when a principal desires to contract an agent to carry out some task, but has incomplete information about the agent…
In the study of reactive systems, qualitative properties are usually easier to model and analyze than quantitative properties. This is especially true in systems where mutually beneficial cooperation between agents is possible, such as…
Most finance studies are discussed on the basis of several hypotheses, for example, investors rationally optimize their investment strategies. However, the hypotheses themselves are sometimes criticized. Market impacts, where trades of…
We study interactions with uncertainty about demand sensitivity. In our solution concept (1) firms choose seemingly-optimal strategies given the level of sophistication of their data analytics, and (2) the levels of sophistication form best…