Related papers: Partial Information in a Mean-Variance Portfolio S…
We investigate joint optimization on information acquisition and portfolio selection within a Bayesian adaptive framework. The investor dynamically controls the precision of a private signal and incurs costs while updating her belief about…
This paper considers a distributed gossip approach for finding a Nash equilibrium in networked games on graphs. In such games a player's cost function may be affected by the actions of any subset of players. An interference graph is…
Classic results show that even an arbitrarily small correlation across bidders' information can enable full surplus extraction in auctions and related mechanism design settings. Motivated by this fragility, we study the information…
The paper [12] examines a concept of equilibrium policies instead of optimal controls in stochastic optimization to analyze a mean-variance portfolio selection problem. We follow the same approach in order to investigate the Merton…
Studying games in the complete information model makes them analytically tractable. However, large $n$ player interactions are more realistically modeled as games of incomplete information, where players may know little to nothing about the…
Games with incomplete preferences are an important model for studying rational decision-making in scenarios where players face incomplete information about their preferences and must contend with incomparable outcomes. We study the problem…
This paper studies random reshuffling (RR)-based distributed Nash equilibrium seeking for noncooperative games. The game is motivated as a sample-average approximation of an underlying expected-value stochastic game, while the algorithmic…
This paper develops a unified framework for testing monotonicity of Bayesian Nash equilibrium strategies in unobserved types in games of incomplete information. We show that, under symmetric independent private types, monotonicity of…
We investigate mean-field games (MFG) in which agents can actively control their speed of access to information. Specifically, the agents can dynamically decide to obtain observations with reduced delay by accepting higher observation…
When the available statistical information is imperfect, it is dangerous to follow standard optimisation procedures to construct an optimal portfolio, which usually leads to a strong concentration of the weights on very few assets. We…
Mutual information has been successfully adopted in filter feature-selection methods to assess both the relevancy of a subset of features in predicting the target variable and the redundancy with respect to other variables. However,…
The standard risk minimization paradigm of machine learning is brittle when operating in environments whose test distributions are different from the training distribution due to spurious correlations. Training on data from many…
Various social contexts ranging from public goods provision to information collection can be depicted as games of strategic interactions, where a player's well-being depends on her own action as well as on the actions taken by her…
Today's queueing network systems are more rapidly evolving and more complex than those of even a few years ago. The goal of this paper is to study customers' behavior in an unobservable Markovian M/M/1 queue where consumers have to choose…
This paper considers a non-cooperative game in which competing users sharing a frequency-selective interference channel selfishly optimize their power allocation in order to improve their achievable rates. Previously, it was shown that a…
When learning in strategic environments, a key question is whether agents can overcome uncertainty about their preferences to achieve outcomes they could have achieved absent any uncertainty. Can they do this solely through interactions…
We consider an environment where players need to decide whether to buy a certain product (or adopt a technology) or not. The product is either good or bad, but its true value is unknown to the players. Instead, each player has her own…
Classical mean-variance portfolio theory tells us how to construct a portfolio of assets which has the greatest expected return for a given level of return volatility. Utility theory then allows an investor to choose the point along this…
In resource contribution games, a class of non-cooperative games, the players want to obtain a bundle of resources and are endowed with bags of bundles of resources that they can make available into a common for all to enjoy. Available…
The goal of agents in multi-agent environments is to maximize total reward against the opposing agents that are encountered. Following a game-theoretic solution concept, such as Nash equilibrium, may obtain a strong performance in some…