Related papers: Evolutionary Foundation for Heterogeneity in Risk …
For an investor with constant absolute risk aversion and a long horizon, who trades in a market with constant investment opportunities and small proportional transaction costs, we obtain explicitly the optimal investment policy, its implied…
Complex adaptive systems have been the subject of much recent attention. It is by now well-established that members (`agents') tend to self-segregate into opposing groups characterized by extreme behavior. However, while different social…
We study the market selection hypothesis in complete financial markets, populated by heterogeneous agents. We allow for a rich structure of heterogeneity: individuals may differ in their beliefs concerning the economy, information and…
We study the performance of different methods for processing information, incorporating narrative selection within an evolutionary model. All agents update their beliefs according to Bayes' Rule, but some strategically choose the narrative…
In the presence of persistent payoff heterogeneity, the evolution of the aggregate strategy hugely depends on the underlying strategy composition under many evolutionary dynamics, while the aggregate dynamic under the standard BRD reduces…
We consider a system of two competing populations in two-dimensional heterogeneous environments. The populations are assumed to move horizontally and vertically with different probabilities, but are otherwise identical. We regard these…
Biological populations are subject to fluctuating environmental conditions. Different adaptive strategies can allow them to cope with these fluctuations: specialization to one particular environmental condition, adoption of a generalist…
Modern ecology has re-emphasized the need for a quantitative understanding of the original 'survival of the fittest theme' based on analyzis of the intricate trade-offs between competing evolutionary strategies that characterize the…
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 study of flocking in biological systems has identified conditions for self-organized collective behavior, inspiring the development of decentralized strategies to coordinate the dynamics of swarms of drones and other autonomous…
We study the problem of a planner who resolves risk-return trade-offs - like financial investment decisions - on behalf of a collective of agents with heterogeneous risk preferences. The planner's objective is a two-stage utility functional…
The dynamics of protection processes has been a fundamental challenge in systemic risk analysis. The conceptual principle and methodological techniques behind the mechanisms involved [in such dynamics] have been harder to grasp than…
Models in evolutionary game theory traditionally assume symmetric interactions in homogeneous environments. Here, we consider populations evolving in a heterogeneous environment, which consists of patches of different qualities that are…
Understanding and predicting the behavior of large-scale multi-agents in games remains a fundamental challenge in multi-agent systems. This paper examines the role of heterogeneity in equilibrium formation by analyzing how smooth…
We study Pareto-optimal risk sharing in economies with heterogeneous attitudes toward risk, where agents' preferences are modeled by distortion risk measures. Building on comonotonic and counter-monotonic improvement results, we show that…
Understanding the influence of an environment on the evolution of its resident population is a major challenge in evolutionary biology. Great progress has been made in homogeneous population structures while heterogeneous structures have…
Ergodicity describes an equivalence between the expectation value and the time average of observables. Applied to human behaviour, ergodic theories of decision-making reveal how individuals should tolerate risk in different environments. To…
Essential to each other, growth and exploration are jointly observed in populations, be it alive such as animals and cells or inanimate such as goods and money. But their ability to move, crucial to cope with uncertainty and optimize…
Different models to study the wealth distribution in an artificial society have considered a transactional dynamics as the driving force. Those models include a risk aversion factor, but also a finite probability of favoring the poorer…
The goal of this paper is to study organized flocking behavior and systemic risk in heterogeneous mean-field interacting diffusions. We illustrate in a number of case studies the effect of heterogeneity in the behavior of systemic risk in…