Related papers: Evolutionary Foundation for Heterogeneity in Risk …
In this work, we analyse the relationship between heterogeneity and cooperation. Previous investigations suggest that this relation is nontrivial, as some authors found that heterogeneity sustains cooperation, while others obtained…
Decision-making individuals often imitate their highest-earning fellows rather than optimize their own utilities, due to bounded rationality and incomplete information. Perpetual fluctuations between decisions have been reported as the…
Agents' learning from feedback shapes economic outcomes, and many economic decision-makers today employ learning algorithms to make consequential choices. This note shows that a widely used learning algorithm, $\varepsilon$-Greedy, exhibits…
This paper is concerned with the uniqueness issue of open-loop equilibrium investment strategies of dynamic mean-variance portfolio selection problems with random coefficients. A unified method is developed to treat both the problems with…
Evolutionary dynamics have been traditionally studied in the context of homogeneous populations, mainly described my the Moran process. Recently, this approach has been generalized in \cite{LHN} by arranging individuals on the nodes of a…
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…
Altruistic behaviour is disadvantageous for the individual while is advantageous for its group. If the target of the selection is the individual, one would expect the selection process to lead to populations formed by wholly homogeneous…
Evolutionary systems must learn to generalize, often extrapolating from a limited set of selective conditions to anticipate future environmental changes. The mechanisms enabling such generalization remain poorly understood, despite their…
In biology and ecology, individuals or communities of individuals living in unpredictable environments often alternate between different evolutionary strategies to spread and reduce risks. Such behavior is commonly referred to as…
Diversity is an important factor in evolutionary algorithms to prevent premature convergence towards a single local optimum. In order to maintain diversity throughout the process of evolution, various means exist in literature. We analyze…
We investigate the ergodic problem of growth-rate maximization under a class of risk constraints in the context of incomplete, It\^{o}-process models of financial markets with random ergodic coefficients. Including {\em value-at-risk}…
Most people are risk-averse (risk-seeking) when they expect to gain (lose). Based on a generalization of ``expected utility theory'' which takes this into account, we introduce an automaton mimicking the dynamics of economic operations.…
We consider a version of large population games whose agents compete for resources using strategies with adaptable preferences. The games can be used to model economic markets, ecosystems or distributed control. Diversity of initial…
We propose a game-theoretic dynamics of a population of replicating individuals. It consists of two parts: the standard replicator one and a migration between two different habitats. We consider symmetric two-player games with two…
This note will extend the research presented in Brown & Rogers (2009) to the case of CRRA agents. We consider the model outlined in that paper in which agents had diverse beliefs about the dividends produced by a risky asset. We now assume…
Emerging applications in engineering such as crowd-sourcing and (mis)information propagation involve a large population of heterogeneous users or agents in a complex network who strategically make dynamic decisions. In this work, we…
In an arbitrage-free simple market, we demonstrate that for a class of state-dependent exponential utilities, there exists a unique prediction of the random risk aversion that ensures the consistency of optimal strategies across any time…
Many analyses of resource-allocation problems employ simplistic models of the population. Using the example of a resource-allocation problem of Marecek et al. [arXiv:1406.7639], we introduce rather a general behavioural model, where the…
On a capital market the social group is formed from traders. Individual behaviour of agents is influenced by the need to associate with other agents and to obtain the approval of other agents in the group. Making decisions an individual…
Real-world applications require RL algorithms to act safely. During learning process, it is likely that the agent executes sub-optimal actions that may lead to unsafe/poor states of the system. Exploration is particularly brittle in…