Related papers: Gain-Loss Hedging and Cumulative Prospect Theory
We revisit the problem of portfolio selection, where an investor maximizes utility subject to a risk constraint. Our framework is very general and accommodates a wide range of utility and risk functionals, including non-concave utilities…
This paper formulates a model of utility for a continuous time framework that captures the decision-maker's concern with ambiguity about both volatility and drift. Corresponding extensions of some basic results in asset pricing theory are…
Computational topology is a vibrant contemporary subfield and this article integrates knot theory and mathematical visualization. Previous work on computer graphics developed a sequence of smooth knots that were shown to converge point wise…
This paper examines an optimal investment problem in a continuous-time (essentially) complete financial market with a finite horizon. We deal with an investor who behaves consistently with principles of Cumulative Prospect Theory, and whose…
We consider contests with a large set (continuum) of participants and axiomatize contest success functions that arise when performance is composed of both effort and a random element, and when winners are those whose performance exceeds a…
Machine learning typically presupposes classical probability theory which implies that aggregation is built upon expectation. There are now multiple reasons to motivate looking at richer alternatives to classical probability theory as a…
This paper presents a synthesis of the theories of portfolio generating functions and option pricing. The theory of portfolio generation is extended to measure the value of portfolios generated by positive C^{2,1} functions of asset prices…
We consider a continuous-time game-theoretic model of an investment market with short-lived assets and endogenous asset prices. The first goal of the paper is to formulate a stochastic equation which determines wealth processes of investors…
The Centralized Training with Decentralized Execution (CTDE) paradigm is widely used in cooperative multi-agent reinforcement learning. However, conventional methods based on CTDE can suffer from value underestimation and converge to…
We investigate multi-stage demand uncertainty for the multi-item multi-echelon capacitated lot sizing problem with setup carry-over. Considering a multi-stage decision framework helps to quantify the benefits of being able to adapt…
It is well known that the minimal superhedging price of a contingent claim is too high for practical use. In a continuous-time model uncertainty framework, we consider a relaxed hedging criterion based on acceptable shortfall risks.…
We provided a game model to simulate the evolution of coauthorship networks, a geometric hypergraph built on a circle. The model expresses kin selection and network reciprocity, two typically cooperative mechanisms, through a cooperation…
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…
Ergodicity economics is a new branch of economic theory that notes the conceptual difference between time averages and expectation values, which coincide only for ergodic observables. It postulates that individual agents maximise the time…
A matching game is a cooperative profit game defined on an edge-weighted graph, where the players are the vertices and the profit of a coalition is the maximum weight of matchings in the subgraph induced by the coalition. A population…
We introduce a new model of combinatorial contracts in which a principal delegates the execution of a costly task to an agent. To complete the task, the agent can take any subset of a given set of unobservable actions, each of which has an…
The problem of resource allocation in goal-oriented semantic communication with semantic-aware utilities and subjective risk perception is studied here. By linking information importance to risk aversion, we model agent behavior using…
We establish a number of "concatenation theorems" that assert, roughly speaking, that if a function exhibits "polynomial" (or "Gowers anti-uniform", "uniformly almost periodic", or "nilsequence") behaviour in two different directions…
The log-likelihood of a generative model often involves both positive and negative terms. For a temporal multivariate point process, the negative term sums over all the possible event types at each time and also integrates over all the…
We propose a payoff function extending Minority Games (MG) that captures the competition between agents to make money. In constrast with previous MG, the best strategies are not always targeting the minority but are shifting…