Related papers: Partial Information in a Mean-Variance Portfolio S…

This paper examines the impact of cognitive biases on financial decision-making through a static Bayesian game framework. While traditional economic theory assumes fully rational investors, real-world choices are often shaped by loss…

This paper studies the continuous time mean-variance portfolio selection problem with one kind of non-linear wealth dynamics. To deal the expectation constraint, an auxiliary stochastic control problem is firstly solved by two new…

We study a n-player and mean-field portfolio optimization problem under relative performance concerns with non-zero volatility, for wealth and consumption. The consistency assumption defining forward relative performance processes leads to…

We consider a game-theoretic setting to model the interplay between attacker and defender in the context of information flow, and to reason about their optimal strategies. In contrast with standard game theory, in our games the utility of a…

In this paper, we investigate a competitive market involving two agents who consider both their own wealth and the wealth gap with their opponent. Both agents can invest in a financial market consisting of a risk-free asset and a risky…

This paper develops a new methodology for studying continuous-time Nash equilibrium in a financial market with asymmetrically informed agents. This approach allows us to lift the restriction of risk neutrality imposed on market makers by…

This paper investigates optimal portfolio strategies in a market where the drift is driven by an unobserved Markov chain. Information on the state of this chain is obtained from stock prices and expert opinions in the form of signals at…

We study a continuous time economy where throughout time, insiders receive private signals regarding the risky assets' terminal payoff. We prove existence of a partial communication equilibrium where, at each private signal time, the public…

This paper introduces an equilibrium framework based on sequential sampling in which players face strategic uncertainty over their opponents' behavior and acquire informative signals to resolve it. Sequential sampling equilibrium delivers a…

Prediction is a well-studied machine learning task, and prediction algorithms are core ingredients in online products and services. Despite their centrality in the competition between online companies who offer prediction-based products,…

When we implement a portfolio selection methodology under a mean-risk formulation, it is essential to correctly model investors' risk aversion which may be time-dependent, or even state-dependent during the investment procedure. In this…

This paper considers information sharing in a multi-player repeated game. Every round, each player observes a subset of components of a random vector and then takes a control action. The utility earned by each player depends on the full…

We consider the mean-variance hedging problem under partial information in the case where the flow of observable events does not contain the full information on the underlying asset price process. We introduce a martingale equation of a new…

We consider a stochastic game with partial, asymmetric and non-classical information, where the agents are trying to acquire as many available opportunities/locks as possible. Agents have access only to local information, the information…

In this paper, we propose a new class of optimization problems, which maximize the terminal wealth and accumulated consumption utility subject to a mean variance criterion controlling the final risk of the portfolio. The multiple-objective…

When an investor is faced with the option to purchase additional information regarding an asset price, how much should she pay? To address this question, we solve for the indifference price of information in a setting where a trader…

We study a very general class of games --- multi-dimensional aggregative games --- which in particular generalize both anonymous games and weighted congestion games. For any such game that is also large, we solve the equilibrium selection…

Following the idea of Bayesian learning via Gaussian mixture model, we organically combine the backward-looking information contained in the historical data and the forward-looking information implied by the market portfolio, which is…

According to the proportional allocation mechanism from the network optimization literature, users compete for a divisible resource -- such as bandwidth -- by submitting bids. The mechanism allocates to each user a fraction of the resource…

We study learning dynamics induced by strategic agents who repeatedly play a game with an unknown payoff-relevant parameter. In each step, an information system estimates a belief distribution of the parameter based on the players'…