相关论文: Nash Bargaining Over Margin Loans to Kelly Gambler…

This paper investigates the optimal hedging strategies of an informed broker interacting with multiple traders in a financial market. We develop a theoretical framework in which the broker, possessing exclusive information about the drift…

A population of committees of agents that learn by using neural networks is implemented to simulate the stock market. Each committee of agents, which is regarded as a player in a game, is optimised by continually adapting the architecture…

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…

The term rational has become synonymous with maximizing expected payoff in the definition of the best response in Nash setting. In this work, we consider stochastic games in which players engage only once, or at most a limited number of…

Investors usually resort to financial advisors to improve their investment process until the point of complete delegation on investment decisions. Surely, financial advice is potentially a correcting factor in investment decisions but, in…

This paper studies a stochastic utility maximization game under relative performance concerns in finite agent and infinite agent settings, where a continuum of agents interact through a graphon (see definition below). We consider an…

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…

This article examines arbitrage investment in a mispriced asset when the mispricing follows the Ornstein-Uhlenbeck process and a credit-constrained investor maximizes a generalization of the Kelly criterion. The optimal differentiable and…

Testing by betting has been a cornerstone of the game-theoretic statistics literature. One bets against the null hypothesis, and the accumulated wealth $W_t$ quantifies the evidence against the null hypothesis after $t$ rounds, and the null…

We study the Online Bookmaking problem, where a bookmaker dynamically updates betting odds on the possible outcomes of an event. In each betting round, the bookmaker can adjust the odds based on the cumulative betting behavior of gamblers,…

In this paper, we investigate a competitive market involving two agents who consider both their own wealth and the wealth gap with their opponent. Both agents can invest in a financial market consisting of a risk-free asset and a risky…

We studied the behavior and variation of utility between the two conflicting players in a closed Nash-equilibrium loop. Our modeling approach also captured the nexus between optimal premium strategizing and firm performance using the…

We consider bargaining problems which involve two participants, with a nonempty closed, bounded convex bargaining set of points in the real plane representing all realizable bargains. We also assume that there is no definite threat or…

We introduce a two-agent problem which is inspired by price asymmetry arising from funding difference. When two parties have different funding rates, the two parties deduce different fair prices for derivative contracts even under the same…

Consider a gambling game in which we are allowed to repeatedly bet a portion of our bankroll at favorable odds. We investigate the question of how to minimize the expected number of rounds needed to increase our bankroll to a given target…

We deal with the optimal execution problem when the broker's goal is to reach a performance barrier avoiding a downside barrier. The performance is provided by the wealth accumulated by trading in the market, the shares detained by the…

The Kelly or proportional allocation mechanism is a simple and efficient auction-based scheme that distributes an infinitely divisible resource proportionally to the agents bids. When agents are aware of the allocation rule, their…

We review some fundamental concepts of investment from a mathematical perspective, concentrating specifically on fractional-Kelly portfolios, which allocate a fraction of wealth to a growth-optimal portfolio while the remainder collects (or…

We study optimal equilibria in multi-player games. An equilibrium is optimal for a player, if her payoff is maximal. A tempting approach to solving this problem is to seek optimal Nash equilibria, the standard form of equilibria where no…

This paper builds a core-satellite model of semi-static Kelly betting and log-optimal investment. We study the problem of a saver whose core portfolio consists in unlevered (1x) retirement plans with no access to margin debt. However, the…