Related papers: Expected Growth Criterion: An Axiomatization
This paper looks at predictability problems, i.e., wherein an agent must choose its strategy in order to optimize the predictions that an external observer could make. We address these problems while taking into account uncertainties on the…
New fairness notions aligned with the merit principle are proposed for designing exchange rules. We show that for an obviously strategy-proof, efficient and individually rational rule, (i) an agent receives her favorite object when others…
Choice functions constitute a simple, direct and very general mathematical framework for modelling choice under uncertainty. In particular, they are able to represent the set-valued choices that typically arise from applying decision rules…
The paper aims to discuss statistical properties of the multi-agent based model of competitive growth. Each of the agents is described by growth (or decay) rule of its virtual "mass" with the rate affected by the interaction with other…
We propose a novel kinetic exchange model differing from previous ones in two main aspects. First, the basic dynamics is modified in order to represent economies where immediate wealth exchanges are carried out, instead of reshufflings or…
We consider a stochastic game-theoretic model of a discrete-time asset market with short-lived assets and endogenous asset prices. We prove that the strategy which invests in the assets proportionally to their expected relative payoffs…
Assuming that agents' preferences satisfy first-order stochastic dominance, we show how the Expected Utility paradigm can rationalize all optimal investment choices: the optimal investment strategy in any behavioral law-invariant…
The determinants of the velocity of money have been examined based on life-cycle hypothesis. The velocity of money can be expressed by reciprocal of the average value of holding time which is defined as interval between participating…
A criterion for unique ergodicity for points of a curve in the space of interval exchange transformation is given.
The focal point of this paper is the so-called Kelly Criterion, a prescription for optimal resource allocation among a set of gambles which are repeated over time. The criterion calls for maximization of the expected value of the…
We propose and study an evolutionary minority game (EMG) in which the agents are allowed to choose among three possible options. Unlike the original EMG where the agents either win or lose one unit of wealth, the present model assigns one…
We study how to optimally design selection mechanisms, accounting for agents' investment incentives. A principal wishes to allocate a resource of homogeneous quality to a heterogeneous population of agents. The principal commits to a…
Autonomous exploration is an application of growing importance in robotics. A promising strategy is ergodic trajectory planning, whereby an agent spends in each area a fraction of time which is proportional to its probability information…
We investigate the geometry of optimal memoryless time independent decision making in relation to the amount of information that the acting agent has about the state of the system. We show that the expected long term reward, discounted or…
Recently, Frazier et al. proposed a natural model for crowdsourced exploration of different a priori unknown options: a principal is interested in the long-term welfare of a population of agents who arrive one by one in a multi-armed bandit…
Understanding the evolution of human social systems requires flexible formalisms for the emergence of institutions. Although game theory is normally used to model interactions individually, larger spaces of games can be helpful for modeling…
Kelly criterion, that maximizes the expectation value of the logarithm of wealth for bookmaker bets, gives an advantage over different class of strategies. We use projective symmetries for a explanation of this fact. Kelly's approach allows…
Many societies are organized in networks that are formed by people who meet and interact over time. In this paper, we present a first model to capture the micro-foundations of social networks evolution, where boundedly rational agents of…
The valuation process that economic agents undergo for investments with uncertain payoff typically depends on their statistical views on possible future outcomes, their attitudes toward risk, and, of course, the payoff structure itself.…
We study a minimal model for the growth of a phenotypically heterogeneous population of cells subject to a fluctuating environment in which they can replicate (by exploiting available resources) and modify their phenotype within a given…