Related papers: Partial Information in a Mean-Variance Portfolio S…
We introduce new mathematical methods to study the optimal portfolio size of investment portfolios over time, considering investors with varying skill levels. First, we explore the benefit of portfolio diversification on an annual basis for…
In this paper, we address the challenge of Nash equilibrium (NE) seeking in non-cooperative convex games with partial-decision information. We propose a distributed algorithm, where each agent refines its strategy through projected-gradient…
We investigate how and when to diversify capital over assets, i.e., the portfolio selection problem, from a signal processing perspective. To this end, we first construct portfolios that achieve the optimal expected growth in i.i.d.…
This paper considers a time-varying game with $N$ players. Every time slot, players observe their own random events and then take a control action. The events and control actions affect the individual utilities earned by each player. The…
Current research in distributed Nash equilibrium (NE) seeking in the partial information setting assumes that information is exchanged between agents that are "truthful". However, in general noncooperative games agents may consider sending…
This paper investigates the equilibrium portfolio selection for smooth ambiguity preferences in a continuous-time market. The investor is uncertain about the risky asset's drift term and updates the subjective belief according to the…
We study experimentally contests in which players make investment decisions sequentially, and information on prior investments is revealed between stages. Using a between-subject design, we consider all possible sequences in contests of…
We investigate a privacy-signaling game problem in which a sender with privacy concerns observes a pair of correlated random vectors which are modeled as jointly Gaussian. The sender aims to hide one of these random vectors and convey the…
Variational inequality problems allow for capturing an expansive class of problems, including convex optimization problems, convex Nash games and economic equilibrium problems, amongst others. Yet in most practical settings, such problems…
In this paper, we study closed-loop equilibrium strategies for mean-variance portfolio selection problem in a hidden Markov model with dynamic attention behavior. In addition to the investment strategy, the investor's attention to news is…
I present a dynamic, voluntary contribution mechanism, public good game and derive its potential outcomes. In each period, players endogenously determine contribution productivity by engaging in costly investment. The level of contribution…
We study the computational complexity of solving stochastic games with mean-payoff objectives. Instead of identifying special classes in which simple strategies are sufficient to play $\epsilon$-optimally, or form $\epsilon$-Nash…
This paper investigates a continuous-time portfolio optimization problem with the following features: (i) a no-short selling constraint; (ii) a leverage constraint, that is, an upper limit for the sum of portfolio weights; and (iii) a…
The dynamic portfolio optimization problem in finance frequently requires learning policies that adhere to various constraints, driven by investor preferences and risk. We motivate this problem of finding an allocation policy within a…
In this paper we test computationally the performance of CAPM in an evolutionary setting. In particular we study the stability of wealth distribution in a financial market where some traders invest as prescribed by CAPM and others behave…
We study portfolio selection in a complete continuous-time market where the preference is dictated by the rank-dependent utility. As such a model is inherently time inconsistent due to the underlying probability weighting, we study the…
The designs of many large-scale systems today, from traffic routing environments to smart grids, rely on game-theoretic equilibrium concepts. However, as the size of an $N$-player game typically grows exponentially with $N$, standard game…
We consider an investor who seeks to maximize her expected utility derived from her terminal wealth relative to the maximum performance achieved over a fixed time horizon, and under a portfolio drawdown constraint, in a market with local…
We investigate the behavior of equilibria in an $M/M/1$ feedback queue where price and time sensitive customers are homogeneous with respect to service valuation and cost per unit time of waiting. Upon arrival, customers can observe the…
In this paper, we consider discrete-time partially observed mean-field games with the risk-sensitive optimality criterion. We introduce risk-sensitivity behaviour for each agent via an exponential utility function. In the game model, each…