Related papers: Partial Information in a Mean-Variance Portfolio S…
In this paper, we study which data can be induced by a correlated equilibrium given a known finite simultaneous move game. We assume that an analyst has access to the frequency of each agent's actions but does not have access to the…
In this work, we study the system of interacting non-cooperative two Q-learning agents, where one agent has the privilege of observing the other's actions. We show that this information asymmetry can lead to a stable outcome of population…
This paper studies a continuous-time portfolio selection problem under a general distribution of random risk aversion (RRA). We provide a complete characterization of all deterministic equilibrium strategies in closed form. Our results show…
We consider a Gaussian interference channel with independent direct and cross link channel gains, each of which is independent and identically distributed across time. Each transmitter-receiver user pair aims to maximize its long-term…
The productivity of a common pool of resources may degrade when overly exploited by a number of selfish investors, a situation known as the tragedy of the commons (TOC). Without regulations, agents optimize the size of their individual…
In socio-technical multi-agent systems, deception exploits privileged information to induce false beliefs in "victims," keeping them oblivious and leading to outcomes detrimental to them or advantageous to the deceiver. We consider…
We investigate stochastic differential games of optimal trading comprising a finite population. There are market frictions in the present framework, which take the form of stochastic permanent and temporary price impacts. Moreover,…
A model of stochastic games where multiple controllers jointly control the evolution of the state of a dynamic system but have access to different information about the state and action processes is considered. The asymmetry of information…
We study the optimal portfolio selection problem under relative performance criteria in the market model with random coefficients from the perspective of many players game theory. We consider five random coefficients which consist of three…
We introduce and study incentive equilibria for multi-player meanpayoff games. Incentive equilibria generalise well-studied solution concepts such as Nash equilibria and leader equilibria (also known as Stackelberg equilibria). Recall that…
Investors usually resort to financial advisors to improve their investment process until the point of complete delegation on investment decisions. Surely, financial advice is potentially a correcting factor in investment decisions but, in…
We maximize the expected utility from terminal wealth for an HARA investor when the market price of risk is an unobservable random variable. We compute the optimal portfolio explicitly and explore the effects of learning by comparing it…
Mean-reverting assets are one of the holy grails of financial markets: if such assets existed, they would provide trivially profitable investment strategies for any investor able to trade them, thanks to the knowledge that such assets…
A class of nonzero-sum stochastic dynamic games with imperfect information structure is investigated. The game involves an arbitrary number of players, modeled as homogeneous Markov decision processes, aiming to find a sequential Nash…
We model real-world data markets, where sellers post fixed prices and buyers are free to purchase from any set of sellers, as a simultaneous game. A key component here is the negative externality buyers induce on one another due to data…
Motivated by recent empirical findings on the periodic phenomenon of aggregated market volumes in equity markets, we aim to understand the causes and consequences of periodic trading activities through a game-theoretic perspective,…
We consider two-alternative elections where voters' preferences depend on a state variable that is not directly observable. Each voter receives a private signal that is correlated to the state variable. Voters may be "contingent" with…
We propose a new dynamics for equilibrium selection of finite player discrete strategy games. The dynamics is motivated by optimal transportation, and models individual players' myopicity, greedy and uncertainty when making decisions. The…
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…
This paper considers a robust time-consistent mean-variance-skewness portfolio selection problem for an ambiguity-averse investor by taking into account wealth-dependent risk aversion and wealth-dependent skewness preference as well as…