相关论文: Kelly criterion for variable pay-off

We consider two-player games played on weighted directed graphs with mean-payoff and total-payoff objectives, two classical quantitative objectives. While for single-dimensional games the complexity and memory bounds for both objectives…

In constructing an econometric or statistical model, we pick relevant features or variables from many candidates. A coalitional game is set up to study the selection problem where the players are the candidates and the payoff function is a…

For a sequence of binary bets, the Kelly criterion provides a closed-form solution that maximizes the expected growth rate of wealth. In contrast, when multiple bets are placed simultaneously (e.g., in portfolio allocation or prediction…

Prompted by a recent experiment by Victor Haghani and Richard Dewey, this note generalises the Kelly strategy (optimal for simple investment games with log utility) to a large class of practical utility functions and including the effect of…

This paper proposes a new way of evaluating the accuracy and validity of probabilistic forecasts that change over time (such as an in-game win probability model, or an election forecast). Under this approach, each model to be evaluated is…

This paper studies sequential quantum games under the assumption that the moves of the players are drawn from groups and not just plain sets. The extra group structure makes possible to easily derive some very general results characterizing…

Mean-payoff games are important quantitative models for open reactive systems. They have been widely studied as games of full observation. In this paper we investigate the algorithmic properties of several sub-classes of mean-payoff games…

Various social dilemma games that follow different strategy updating rules have been studied on many networks.The reported results span the entire spectrum, from significantly boosting,to marginally affecting,to seriously decreasing the…

Concurrent multi-player mean-payoff games are important models for systems of agents with individual, non-dichotomous preferences. Whilst these games have been extensively studied in terms of their equilibria in non-cooperative settings,…

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…

The main objective of this work is to describe games which fall under title of Potential and simplify the conditions for class of aggregative games. Games classified as aggregative are ones in which, in addition to the player's own action,…

We present a new framework for creating a quantum version of a classical game, based on Fine's theorem. This theorem shows that for a given set of marginals, a system of Bell's inequalities constitutes both necessary and sufficient…

In many multi-agent settings, participants can form teams to achieve collective outcomes that may far surpass their individual capabilities. Measuring the relative contributions of agents and allocating them shares of the reward that…

For a single event with finitely many mutually exclusive outcomes, the full Kelly problem is to maximize expected log wealth over nonnegative stakes together with an optional cash position. The optimal formula is classical, but the…

A valuation for a player in a game in extensive form is an assignment of numeric values to the players moves. The valuation reflects the desirability moves. We assume a myopic player, who chooses a move with the highest valuation.…

In this paper the set of value functions of all-possible zero-sum differential games with terminal payoff is characterized. The necessary and sufficient condition for a given function to be a value of some differential game with terminal…

In the standard minority game, each agent in the minority group receives the same payoff regardless of the size of the minority group. Of great interest for real social and biological systems are cases in which the payoffs to members of the…

We consider the problem of payoff division in indivisible coalitional games, where the value of the grand coalition is a natural number. This number represents a certain quantity of indivisible objects, such as parliamentary seats, kidney…

Traditionally quantitative games such as mean-payoff games and discount sum games have two players -- one trying to maximize the payoff, the other trying to minimize it. The associated decision problem, "Can Eve (the maximizer) achieve, for…

While the Kelly portfolio has many desirable properties, including optimal long-term growth rate, the resulting investment strategy is rather aggressive. In this paper, we suggest a unified approach to the risk assessment of the Kelly…