Related papers: Calculated Boldness: Optimizing Financial Decision…
In this paper, motivated by the celebrated work of Kelly, we consider the problem of portfolio weight selection to maximize expected logarithmic growth. Going beyond existing literature, our focal point here is the rebalancing frequency…
We study Stackelberg equilibria in finitely repeated games, where the leader commits to a strategy that picks actions in each round and can be adaptive to the history of play (i.e. they commit to an algorithm). In particular, we study…
The computational study of equilibria involving constraints on players' strategies has been largely neglected. However, in real-world applications, players are usually subject to constraints ruling out the feasibility of some of their…
We introduce an evolutionary game with feedback between perception and reality, which we call the reality game. It is a game of chance in which the probabilities for different objective outcomes (e.g., heads or tails in a coin toss) depend…
We consider the complexity of finding a correlated equilibrium of an $n$-player game in a model that allows the algorithm to make queries on players' payoffs at pure strategy profiles. Randomized regret-based dynamics are known to yield an…
We consider a class of interdependent security games on networks where each node chooses a personal level of security investment. The attack probability experienced by a node is a function of her own investment and the investment by her…
Resource allocation is the process of optimizing the rare resources. In the area of security, how to allocate limited resources to protect a massive number of targets is especially challenging. This paper addresses this resource allocation…
In the online portfolio optimization framework, existing learning algorithms generate strategies that yield significantly poorer cumulative wealth compared to the best constant rebalancing portfolio in hindsight, despite being consistent in…
This paper studies correlations among independently administered hypothetical tests of a simple interactive type, and demonstrates that correlations arising in quantum information theoretic variants of these tests can exhibit a striking…
A checkers-like model game with a simplified set of rules is studied through extensive simulations of agents with different expertise and strategies. The introduction of complementary strategies, in a quite general way, provides a tool to…
This paper builds a core-satellite model of semi-static Kelly betting and log-optimal investment. We study the problem of a saver whose core portfolio consists in unlevered (1x) retirement plans with no access to margin debt. However, the…
We study a game-theoretic variant of the maximum circulation problem. In a flow allocation game, we are given a directed flow network. Each node is a rational agent and can strategically allocate any incoming flow to the outgoing edges.…
Usually, to apply game-theoretic methods, we must specify utilities precisely, and we run the risk that the solutions we compute are not robust to errors in this specification. Ordinal games provide an attractive alternative: they require…
We investigate an expected utility maximization problem under model uncertainty in a one-period financial market. We capture model uncertainty by replacing the baseline model $\mathbb{P}$ with an adverse choice from a Wasserstein ball of…
The optimal value computation for turned-based stochastic games with reachability objectives, also known as simple stochastic games, is one of the few problems in $NP \cap coNP$ which are not known to be in $P$. However, there are some…
We provide a natural learning process in which a financial trader without a risk receives a gain in case when Stock Market is inefficient. In this process, the trader rationally choose his gambles using a prediction made by a randomized…
We consider a two-person trading game in continuous time whereby each player chooses a constant rebalancing rule $b$ that he must adhere to over $[0,t]$. If $V_t(b)$ denotes the final wealth of the rebalancing rule $b$, then Player 1 (the…
This book chapter reviews some of the major principles associated with optimal strategy in basketball. In particular, we consider the principles of allocative efficiency (optimal allocation of shots between offensive options), dynamic…
We study two-player concurrent stochastic games on finite graphs, with B\"uchi and co-B\"uchi objectives. The goal of the first player is to maximize the probability of satisfying the given objective. Following Martin's determinacy theorem…
In two-player zero-sum stochastic games, where two competing players make decisions under uncertainty, a pair of optimal strategies is traditionally described by Nash equilibrium and computed under the assumption that the players have…