相关论文: Periodic portfolio selection with quasi-hyperbolic…

Originally motivated by default risk management applications, this paper investigates a novel problem, referred to as the profitable bandit problem here. At each step, an agent chooses a subset of the K possible actions. For each action…

In financial markets, agents often mutually influence each other's investment strategies and adjust their strategies to align with others. However, there is limited quantitative study of agents' investment strategies in such scenarios. In…

We initiate the study of a repeated principal-agent problem over a finite horizon $T$, where a principal sequentially interacts with $K\geq 2$ types of agents arriving in an adversarial order. At each round, the principal strategically…

While sequential task assignment for a single agent has been widely studied, such problems in a multi-agent setting, where the agents have heterogeneous task preferences or capabilities, remain less well-characterized. We study a…

In this work we study the optimal execution problem with multiplicative price impact in algorithm trading, when an agent holds an initial position of shares of a financial asset. The inter-selling-decision times are modelled by the arrival…

We study a dynamic asset pricing problem in which a representative agent is ambiguous about the aggregate endowment growth rate and trades a risky stock, human capital, and a risk-free asset to maximize her preference value of consumption…

This paper explores the behavior of present-biased agents, that is, agents who erroneously anticipate the costs of future actions compared to their real costs. Specifically, the paper extends the original framework proposed by Akerlof…

The valuation process that economic agents undergo for investments with uncertain payoff typically depends on their statistical views on possible future outcomes, their attitudes toward risk, and, of course, the payoff structure itself.…

The classical mean-variance portfolio selection problem induces time-inconsistent (precommited) strategies (see Zhou and Li (2000)). To overcome this time-inconsistency, Basak and Chabakauri (2010) introduce the game theoretical approach…

This paper studies a one-sector optimal growth model with i.i.d. productivity shocks that are allowed to be unbounded. The utility function is assumed to be non-negative and unbounded from above. The novel feature in our framework is that…

This paper considers the problem of consumption and investment in a financial market within a continuous time stochastic economy. The investor exhibits a change in the discount rate. The investment opportunities are a stock and a riskless…

The paper presents an advanced version of an adaptive market-making agent capable of performing experiential learning, exploiting a "try and fail" approach relying on a swarm of subordinate agents executed in a virtual environment to…

The present paper provides a study of high-dimensional statistical arbitrage that combines factor models with the tools from stochastic control, obtaining closed-form optimal strategies which are both interpretable and computationally…

We provide a characterization of revenue-optimal dynamic mechanisms in settings where a monopolist sells k items over k periods to a buyer who realizes his value for item i in the beginning of period i. We require that the mechanism…

We study the problem of optimal portfolio selection under stochastic volatility within a continuous time reinforcement learning framework with portfolio constraints. Exploration is modeled through entropy-regularized relaxed controls, where…

This paper studies a risk-sensitive decision-making problem under uncertainty. It considers a decision-making process that unfolds over a fixed number of stages, in which a decision-maker chooses among multiple alternatives, some of which…

An agent choosing between various actions tends to take the one with the lowest cost. But this choice is arguably too rigid (not adaptive) to be useful in complex situations, e.g., where exploration-exploitation trade-off is relevant in…

This paper examines the impact of agents' myopic optimization on the efficiency of systems comprised by many selfish agents. In contrast to standard congestion games where agents interact in a one-shot fashion, in our model each agent…

In this paper, we consider the portfolio optimization problem in a financial market under a general utility function. Empirical results suggest that if a significant market fluctuation occurs, invested wealth tends to have a notable change…

Consider discrete-time linear distributed averaging dynamics, whereby agents in a network start with uncorrelated and unbiased noisy measurements of a common underlying parameter (state of the world) and iteratively update their estimates…