Related papers: Single-Event Multinomial Full Kelly via Implicit S…
We study mechanisms for selling a single item when buyers have private costs for participating in the mechanism. An agent's participation cost can also be interpreted as an outside option value that she must forego to participate. This…
Following a series of works on capital growth investment, we analyse log-optimal portfolios where the return evaluation includes `weights' of different outcomes. The results are twofold: (A) under certain conditions, the logarithmic growth…
A sequence of spin-1/2 particles polarised in one of two possible directions is presented to an experimenter, who can wager in a double-or-nothing game on the outcomes of measurements in freely chosen polarisation directions. Wealth is…
Betting games provide a natural setting to capture how information yields strategic advantage. The Kelly criterion for betting, long a cornerstone of portfolio theory and information theory, admits an interpretation in the limit of…
It is a very common practice to use semi-implicit schemes in various computations, which treat selected linear terms implicitly and the nonlinear terms explicitly. For phase-field equations, the principal elliptic operator is treated…
We study optimal liquidation strategies under partial information for a single asset within a finite time horizon. We propose a model tailored for high-frequency trading, capturing price formation driven solely by order flow through…
We consider a variant of sequential testing by betting where, at each time step, the statistician is presented with multiple data sources (arms) and obtains data by choosing one of the arms. We consider the composite global null hypothesis…
This paper explores multi-entry strategies for betting pools related to single-elimination tournaments. In such betting pools, participants select winners of games, and their respective score is a weighted sum of the number of correct…
For sequential betting games, Kelly's theory, aimed at maximization of the logarithmic growth of one's account value, involves optimization of the so-called betting fraction $K$. In this Letter, we extend the classical formulation to allow…
Stochastic Optimal Control provides a unified mathematical framework for solving complex decision-making problems, encompassing paradigms such as maximum entropy reinforcement learning(RL) and imitation learning(IL). However, conventional…
Kelly betting is a prescription for optimal resource allocation among a set of gambles which are typically repeated in an independent and identically distributed manner. In this setting, there is a large body of literature which includes…
We investigate several problems in entanglement theory from the perspective of convex optimization. This list of problems comprises (A) the decision whether a state is multi-party entangled, (B) the minimization of expectation values of…
Selective labels are a common feature of consequential decision-making applications, referring to the lack of observed outcomes under one of the possible decisions. This paper reports work in progress on learning decision policies in the…
When multiple informative equilibria are possible in a general cheap talk game, how much information can a principal guarantee herself? To answer this question, I define the notion of worst-case implementation-implementation via the worst…
A continuous-time financial portfolio selection model with expected utility maximization typically boils down to solving a (static) convex stochastic optimization problem in terms of the terminal wealth, with a budget constraint. In…
This paper presents a derivation of the explicit price for the perpetual American put option in the Black-Scholes model, time-capped by the first drawdown epoch beyond a predefined level. We demonstrate that the optimal exercise strategy…
Recent results of Ye and Hansen, Miltersen and Zwick show that policy iteration for one or two player (perfect information) zero-sum stochastic games, restricted to instances with a fixed discount rate, is strongly polynomial. We show that…
This paper analyzes a problem of optimal static hedging using derivatives in incomplete markets. The investor is assumed to have a risk exposure to two underlying assets. The hedging instruments are vanilla options written on a single…
We perform a stability analysis for the utility maximization problem in a general semimartingale model where both liquid and illiquid assets (random endowments) are present. Small misspecifications of preferences (as modeled via expected…
We determine the variance-optimal hedge when the logarithm of the underlying price follows a process with stationary independent increments in discrete or continuous time. Although the general solution to this problem is known as backward…