Related papers: Relative wealth concerns with partial information …
This paper investigates a hybrid stochastic differential reinsurance and investment game between one reinsurer and two insurers, including a stochastic Stackelberg differential subgame and a non-zero-sum stochastic differential subgame. The…
In modern portfolio theory, the balancing of expected returns on investments against uncertainties in those returns is aided by the use of utility functions. The Kelly criterion offers another approach, rooted in information theory, that…
This paper considers the distributed strategy design for Nash equilibrium (NE) seeking in multi-cluster games under a partial-decision information scenario. In the considered game, there are multiple clusters and each cluster consists of a…
We address the Merton problem of maximizing the expected utility of terminal wealth using techniques from variational analysis. Under a general continuous semimartingale market model with stochastic parameters, we obtain a characterization…
We consider a game-theoretic model of a market where investors compete for payoffs yielded by several assets. The main result consists in a proof of the existence and uniqueness of a strategy, called relative growth optimal, such that the…
This paper considers an $N$-player stochastic Nash game in which the $i$th player minimizes a composite objective $f_i(x) + r_i(x_i)$, where $f_i$ is expectation-valued and $r_i$ has an efficient prox-evaluation. In this context, we make…
We study the problem of maximizing Nash social welfare, which is the geometric mean of agents' utilities, in two well-known models. The first model involves one-sided preferences, where a set of indivisible items is allocated among a group…
We consider the problem of distributed load balancing in heterogenous parallel server systems, where the service rate achieved by a user at a server depends on both the user and the server. Such heterogeneity typically arises in wireless…
This paper presents a multi-agent reinforcement learning algorithm to represent strategic bidding behavior in freight transport markets. Using this algorithm, we investigate whether feasible market equilibriums arise without any central…
In this paper we seek to demonstrate the predictability of stock market returns and explain the nature of this return predictability. To this end, we introduce investors with different investment horizons into the news-driven, analytic,…
This work proposes a policy learning algorithm for seeking generalised feedback Nash equilibria (GFNE) in $N_P$-player noncooperative dynamic games. We consider linear-quadratic games with stochastic dynamics and design a best-response…
We study optimal portfolio choice models in markets with partial information about the stock's drift. We solve the single agent problem for general utilities using a new approach that yields regularity of the value function and closed form…
Understanding the convergence landscape of multi-agent learning is a fundamental problem of great practical relevance in many applications of artificial intelligence and machine learning. While it is known that learning dynamics converge to…
We apply the theory of McKean-Vlasov-type SDEs to study several problems related to market efficiency in the context of partial information and partially observable financial markets: (i) convergence of reduced-information market price…
In the context of large population symmetric games, approximate Nash equilibria are introduced through equilibrium solutions of the corresponding mean field game in the sense that the individual gain from optimal unilateral deviation under…
A quantum financial approach to finite games of strategy is addressed, with an extension of Nash's theorem to the quantum financial setting, allowing for an entanglement of games of strategy with two-period financial allocation problems…
We study the computation of approximate pure Nash equilibria in Shapley value (SV) weighted congestion games, introduced in [19]. This class of games considers weighted congestion games in which Shapley values are used as an alternative (to…
In this paper, we focus on the stochastic generalized Nash equilibrium problem (SGNEP) which is an important and widely-used model in many different fields. In this model, subject to certain global resource constraints, a set of…
The maximization of Nash welfare, which equals the geometric mean of agents' utilities, is widely studied because it balances efficiency and fairness in resource allocation problems. Banerjee, Gkatzelis, Gorokh, and Jin (2022) recently…
We consider multi-agent decision making where each agent optimizes its convex cost function subject to individual and coupling constraints. The constraint sets are compact convex subsets of a Euclidean space. To learn Nash equilibria, we…