Related papers: Partial Information in a Mean-Variance Portfolio S…
In this study, we present models where participants strategically select their risk levels and earn corresponding rewards, mirroring real-world competition across various sectors. Our analysis starts with a normal form game involving two…
A selfish learner seeks to maximize their own success, disregarding others. When success is measured as payoff in a game played against another learner, mutual selfishness typically fails to produce the optimal outcome for a pair of…
We study optimal investment in a financial market having a finite number of assets from a signal processing perspective. We investigate how an investor should distribute capital over these assets and when he should reallocate the…
Starting from the Avellaneda-Stoikov framework, we consider a market maker who wants to optimally set bid/ask quotes over a finite time horizon, to maximize her expected utility. The intensities of the orders she receives depend not only on…
Nash equilibrium is a central solution concept for reasoning about self-interested agents. We address the problem of synthesizing Nash equilibria in two-player deterministic games on graphs, where players have private, partially-ordered…
The preferences of players in non-cooperative games represent their choice in the set of available options, which meet the completeness property if players are able to compare any pair of available options. In the existing literature, the…
In competitive games with private objectives, actions can reveal information about hidden parameters. Quantifying such information revelation, however, is substantially more challenging, since it depends not only on the opponent's hidden…
One key in real-life Nash equilibrium applications is to calibrate players' cost functions. To leverage the approximation ability of neural networks, we proposed a general framework for optimizing and learning Nash equilibrium using neural…
For effective matching of resources (e.g., taxis, food, bikes, shopping items) to customer demand, aggregation systems have been extremely successful. In aggregation systems, a central entity (e.g., Uber, Food Panda, Ofo) aggregates supply…
We consider the portfolio choice problem for a long-run investor in a general continuous semimartingale model. We suggest to use path-wise growth optimality as the decision criterion and encode preferences through restrictions on the class…
Nash equilibrium serves as a fundamental mathematical tool in economics and game theory. However, it classically assumes knowledge of player utilities, whereas economics generally regards preferences as more fundamental. To leverage…
In this research, we present an analysis of the optimal investment, consumption, and life insurance acquisition problem for a wage earner with partial information. Our study considers the non-linear filter case where risky asset prices are…
Data is the central commodity of the digital economy. Unlike physical goods, it is non-rival, replicable at near-zero cost, and traded under heterogeneous licensing rules. These properties defy standard supply--demand theory and call for…
This paper investigates optimal portfolio strategies in a financial market where the drift of the stock returns is driven by an unobserved Gaussian mean reverting process. Information on this process is obtained from observing stock returns…
A strategy profile in a multi-player game is a Nash equilibrium if no player can unilaterally deviate to achieve a strictly better payoff. A profile is an $\epsilon$-Nash equilibrium if no player can gain more than $\epsilon$ by…
In revenue maximization of selling a digital product in a social network, the utility of an agent is often considered to have two parts: a private valuation, and linearly additive influences from other agents. We study the incomplete…
Systemic risk measures aggregate the risks from multiple financial institutions to find system-wide capital requirements. Though much attention has been given to assessing the level of systemic risk, less has been given to allocating that…
Mean-reverting behavior of individuals assets is widely known in financial markets. In fact, we can construct a portfolio that has mean-reverting behavior and use it in trading strategies to extract profits. In this paper, we show that we…
This paper delves into financial markets that incorporate a novel form of heterogeneity among investors, specifically in terms of their beliefs regarding the reliability of signals in the business cycle economy model, which may be biased.…
This paper considers coverage games in which a group of agents are tasked with identifying the highest-value subset of resources; in this context, game-theoretic approaches are known to yield Nash equilibria within a factor of 2 of optimal.…