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

The paper investigates quadratic hedging in a semimartingale market that does not necessarily contain a risk-free asset. An equivalence result for hedging with and without numeraire change is established. This permits direct computation of…

Opportunities for stochastic arbitrage in an options market arise when it is possible to construct a portfolio of options which provides a positive option premium and which, when combined with a direct investment in the underlying asset,…

Optimization methods are used to determine equilibria of investment in cryptocurrencies. The basic assumptions involve existence of a core group (the "wealthy") that fears the loss of substantial assets through government seizure.…

We show that in a financial market given by semimartingales an arbitrage opportunity, provided it exists, can only be exploited through short selling. This finding provides a theoretical basis for differences in regulation for financial…

While Nash equilibria are guaranteed to exist, they may exhibit dense support, making them difficult to understand and execute in some applications. In this paper, we study $k$-sparse commitments in games where one player is restricted to…

We study a market of investments on networks, where each agent (vertex) can invest in any enterprise linked to her, and at the same time, raise capital for her firm's enterprise from other agents she is linked to. Failing to raise…

The risk-neutral LQR controller is optimal for stochastic linear dynamical systems. However, the classical optimal controller performs inefficiently in the presence of low-probability yet statistically significant (risky) events. The…

Game-theoretic analyses of distributed and peer-to-peer systems typically use the Nash equilibrium solution concept, but this explicitly excludes the possibility of strategic behavior involving more than one agent. We examine the effects of…

We consider an exchange who wishes to set suitable make-take fees to attract liquidity on its platform. Using a principal-agent approach, we are able to describe in quasi-explicit form the optimal contract to propose to a market maker. This…

We investigate the problem of gambling with uncertainty in outcome probabilities. Stochastic optimization models are proposed for optimal investing on events with mutually exclusive outcomes when probabilities are estimated using…

We study distributionally robust Markov games (DR-MGs) with the average-reward criterion, a framework for multi-agent decision-making under uncertainty over extended horizons. In average reward DR-MGs, agents aim to maximize their…

In response to a change, individuals may choose to follow the responses of their friends or, alternatively, to change their friends. To model these decisions, consider a game where players choose their behaviors and friendships. In…

Competitions for shareable and limited resources have long been studied with strategic agents. In reality, agents often have to learn and maximize the rewards of the resources at the same time. To design an individualized competing policy,…

We study arbitrage opportunities, market viability and utility maximization in market models with an insider. Assuming that an economic agent possesses from the beginning an additional information in the form of a random variable G, which…

In order to protect brokers from customer defaults in a volatile market, an active margin system is proposed for the transactions of margin lending in China. The probability of negative return under the condition that collaterals are…

The Kelly criterion provides a general framework for optimizing the growth rate of an investment portfolio over time by maximizing the expected logarithmic utility of wealth. However, the optimality condition of the Kelly criterion is…

We introduce a new non-zero-sum game of optimal stopping with asymmetric exercise opportunities. Given a stochastic process modelling the value of an asset, one player observes and can act on the process continuously, while the other player…

In a multi-armed bandit (MAB) problem a gambler needs to choose at each round of play one of K arms, each characterized by an unknown reward distribution. Reward realizations are only observed when an arm is selected, and the gambler's…

In this paper we show how the relaxation techniques can be used to establish the existence of an optimal contract in presence of information asymmetry. The method we illustrate was initially motivated by the problem of designing optimal…

In this paper the problem of optimal derivative design, profit maximization and risk minimization under adverse selection when multiple agencies compete for the business of a continuum of heterogenous agents is studied. The presence of ties…