Related papers: Partial Information in a Mean-Variance Portfolio S…
Attempts to allocate capital across a selection of different investments are often hampered by the fact that investors' decisions are made under limited information (no historical return data) and during an extremely limited timeframe.…
Although maximizing median and quantiles is intuitively appealing and has an axiomatic foundation, it is difficult to study the optimal portfolio strategy due to the discontinuity and time inconsistency in the objective function. We use the…
Many important real-world settings contain multiple players interacting over an unknown duration with probabilistic state transitions, and are naturally modeled as stochastic games. Prior research on algorithms for stochastic games has…
A seller sells an object over time but is uncertain how the buyer learns their willingness-to-pay. We consider informational robustness under \textit{limited commitment}, where the seller offers a price \textit{each period} to maximize…
We consider a peer-to-peer electricity market, where agents hold private information that they might not want to share. The problem is modeled as a noncooperative communication game, which takes the form of a Generalized Nash Equilibrium…
We investigate a time-inconsistent, non-Markovian finite-player game in continuous time, where each player's objective functional depends non-linearly on the expected value of the state process. As a result, the classical Bellman optimality…
Under the assumption of complete rationality, Nash equilibrium is the only reasonable strategy (set) of the finitely repeated prisoner's dilemma. In fact, some strategies only slightly deviate from the so-called rationality, and the…
We study the long-term behavior of the fictitious play process in repeated extensive-form games of imperfect information with perfect recall. Each player maintains incorrect beliefs that the moves at all information sets, except the one at…
This paper studies manipulation of belief aggregation rules in the setting where the society first collects individual's probabilistic opinions and then solves a public portfolio choice problem with common utility based on the aggregate…
Fictitious play is a popular learning algorithm in which players that utilize the history of actions played by the players and the knowledge of their own payoff matrix can converge to the Nash equilibrium under certain conditions on the…
We study the anticipating version of the classical portfolio optimization problem in a financial market with the presence of a trader who possesses privileged information about the future (insider information), but who is also subjected to…
In this paper, both dynamic mean-variance portfolio selection problems and dynamic variance hedging problems are discussed under non-Markovian framework. Explicit closed-loop equilibrium strategies of these problems are respectively…
The large-population system consists of considerable small agents whose individual behavior and mass effect are interrelated via their state-average. The mean-field game provides an efficient way to get the decentralized strategies of…
We develop a stochastic equilibrium model for an electricity market with asymmetric renewable energy forecasts. In our setting, market participants optimize their profits using public information about a conditional expectation of energy…
We study equilibrium concepts in non-cooperative games under uncertainty where both beliefs and mixed strategies are represented by non-additive measures (capacities). In contrast to the classical Nash framework based on additive…
Convertible instruments are contracts, used in venture financing, which give investors the right to receive shares in the venture in certain circumstances. In liquidity events, investors may have the option to either receive back their…
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…
This study investigates differential games with motion-payoff uncertainty in continuous-time settings. We propose a framework where players update their beliefs about uncertain parameters using continuous Bayesian updating. Theoretical…
We address the question of whether price of stability results (existence of equilibria with low social cost) are robust to incomplete information. We show that this is the case in potential games, if the underlying algorithmic social cost…
We consider a two-person trading game in continuous time whereby each player chooses a constant rebalancing rule $b$ that he must adhere to over $[0,t]$. If $V_t(b)$ denotes the final wealth of the rebalancing rule $b$, then Player 1 (the…