Related papers: Bounded arbitrage and nearly rational behavior
In this paper the theory of semi-bounded rationality is proposed as an extension of the theory of bounded rationality. In particular, it is proposed that a decision making process involves two components and these are the correlation…
Designing fair algorithmic decision systems requires balancing model performance with fairness toward affected individuals: More fairness might require sacrificing some performance and vice versa, yet the space of possible trade-offs is…
Opportunities for stochastic arbitrage in an options market arise when it is possible to construct a portfolio of options which provides a positive option premium and which, when combined with a direct investment in the underlying asset,…
Long-term relative arbitrage exists in markets where the excess growth rate of the market portfolio is bounded away from zero. Here it is shown that under a time-homogeneity hypothesis this condition will also imply the existence of…
In practice there are temporary arbitrage opportunities arising from the fact that prices for a given asset at different stock exchanges are not instantaneously the same. We will show that even in such an environment there exists a…
This paper completes the analysis of Choulli et al. Non-Arbitrage up to Random Horizons and after Honest Times for Semimartingale Models and contains two principal contributions. The first contribution consists in providing and analysing…
It is shown that absence of arbitrage opportunity in financial markets is a particular case of existence of uncertainty in decision system. Absence of arbitrage opportunity is considered in the sense of the Arrow-Debreu model of financial…
Simple stochastic games are turn-based 2.5-player games with a reachability objective. The basic question asks whether one player can ensure reaching a given target with at least a given probability. A natural extension is games with a…
Stochastic dominance is a preference relation of uncertain prospect defined over a class of utility functions. While this utility class represents basic properties of risk aversion, it includes some extreme utility functions rarely…
We introduce a graceful approach to probabilistic inference called bounded conditioning. Bounded conditioning monotonically refines the bounds on posterior probabilities in a belief network with computation, and converges on final…
In the context of aggregating von Neumann-Morgenstern utilities, we show that bounded violations of the Pareto conditions characterize aggregation rules that are approximately utilitarian. When a single utility function is intended to…
In a discrete time and multiple-priors setting, we propose a new characterisation of the condition of quasi-sure no-arbitrage which has become a standard assumption. This characterisation shows that it is indeed a well-chosen condition…
The Robbins-Siegmund theorem establishes the convergence of stochastic processes that are almost supermartingales and is one of the most commonly used approaches for analyzing stochastic iterative algorithms in stochastic approximation and…
Statistical arbitrage exploits temporal price differences between similar assets. We develop a unifying conceptual framework for statistical arbitrage and a novel data driven solution. First, we construct arbitrage portfolios of similar…
Association rules are among the most widely employed data analysis methods in the field of Data Mining. An association rule is a form of partial implication between two sets of binary variables. In the most common approach, association…
The random utility model (RUM, McFadden and Richter, 1990) has been the standard tool to describe the behavior of a population of decision makers. RUM assumes that decision makers behave as if they maximize a rational preference over a…
The combinatorial explosion that plagues planning and reinforcement learning (RL) algorithms can be moderated using state abstraction. Prohibitively large task representations can be condensed such that essential information is preserved,…
In the bounded confidence model the opinions of a set of agents evolve over discrete time steps. In each round an agent averages the opinion of all agents whose opinions are at most a certain threshold apart. Here we assume that the…
We unify and establish equivalence between the pathwise and the quasi-sure approaches to robust modelling of financial markets in discrete time. In particular, we prove a Fundamental Theorem of Asset Pricing and a Superhedging Theorem,…
In a recent paper \cite{Redei-Jing2026} the notion of conditional $p$-inaccessibility of a decision based on utility maximization was defined and examples of conditionally $p$-inaccessible decisions were given. The conditional…