相关论文: Generalizing the Kelly strategy

We study the notion of efficiency for cooperative games on simplicial complexes. In such games, the grand coalition $[n]$ may be forbidden, and, thus, it is a non-trivial problem to study the total number of payoff $v_{\Delta}$ of a…

Within a common arbitrage-free semimartingale financial market we consider the problem of determining all Nash equilibrium investment strategies for $n$ agents who try to maximize the expected utility of their relative wealth. The utility…

We are witnessing an increasing use of data-driven predictive models to inform decisions. As decisions have implications for individuals and society, there is increasing pressure on decision makers to be transparent about their decision…

This paper formulates and studies a general continuous-time behavioral portfolio selection model under Kahneman and Tversky's (cumulative) prospect theory, featuring S-shaped utility (value) functions and probability distortions. Unlike the…

We study an optimization problem for a portfolio with a risk-free, a liquid, and an illiquid risky asset. The illiquid risky asset is sold in an exogenous random moment with a prescribed liquidation time distribution. The investor prefers a…

We consider multi-agent decision making where each agent optimizes its convex cost function subject to individual and coupling constraints. The constraint sets are compact convex subsets of a Euclidean space. To learn Nash equilibria, we…

In this work we study the continuous time exponential utility maximization problem in the framework of an investor who is informed about the price changes with a delay. This leads to a non-Markovian stochastic control problem. In the case…

We consider an insurance company modelling its surplus process by a Brownian motion with drift. Our target is to maximise the expected exponential utility of discounted dividend payments, given that the dividend rates are bounded by some…

A drawdown constraint forces the current wealth to remain above a given function of its maximum to date. We consider the portfolio optimisation problem of maximising the long-term growth rate of the expected utility of wealth subject to a…

In this paper, we consider a discrete-time portfolio with $m \geq 2$ assets optimization problem which includes the rebalancing~frequency as an additional parameter in the maximization. The so-called Kelly Criterion is used as the…

We present a generic strategy iteration algorithm (GSIA) to find an optimal strategy of a simple stochastic game (SSG). We prove the correctness of GSIA, and derive a general complexity bound, which implies and improves on the results of…

This paper investigates a class of multi-player discrete games where each player aims to maximize its own utility function. Each player does not know the other players' action sets, their deployed actions or the structures of its own or the…

We give examples of situations -- stochastic production, military tactics, corporate merger -- where it is beneficial to concentrate risk rather than to diversify it, that is, to put all eggs in one basket. Our examples admit a dual…

In a reinforcement learning (RL) framework, we study the exploratory version of the continuous time expected utility (EU) maximization problem with a portfolio constraint that includes widely-used financial regulations such as short-selling…

Building on insights of Jovanovic (1982) and subsequent authors, we develop a comprehensive theory of optimal timing of decisions based around continuation value functions and operators that act on them. Optimality results are provided…

We analyze characteristics' joint predictive information through the lens of out-of-sample power utility functions. Linking weights to characteristics to form optimal portfolios suffers from estimation error which we mitigate by maximizing…

In this paper we derive the exact solution of the multi-period portfolio choice problem for an exponential utility function under return predictability. It is assumed that the asset returns depend on predictable variables and that the joint…

This paper gives a constructive treatment of McKenzie's theorem on the existence of general equilibria. While the full theorem does not admit a constructive proof, and hence does not admit a computational realisation, we show that if we…

In [Van Benthem 2007] the concept of a public announcement is used to study the effect of the iterated elimination of strictly dominated strategies. We offer a simple generalisation of this approach to cover arbitrary strategic games and…

Two-player complete-information game trees are perhaps the simplest possible setting for studying general-sum games and the computational problem of finding equilibria. These games admit a simple bottom-up algorithm for finding subgame…