相关论文: Driving Force in Investment

This paper studies an optimal investing problem for a retiree facing longevity risk and living standard risk. We formulate the investing problem as a portfolio choice problem under a time-varying risk capacity constraint. We derive the…

Interaction strategies for reward in competitive environments are significantly influenced by the nature and extent of available information. In financial markets, particularly foreign exchange (forex), traders operate independently with…

This exploratory study examines which investing characteristics determine success in an equity market. Based on data from 403 respondents, exploratory factor analysis results in 13 factors: middle/long time horizon, qualitative analyst,…

We model search in settings where decision makers know what can be found but not where to find it. A searcher faces a set of choices arranged by an observable attribute. Each period, she either selects a choice and pays a cost to learn…

Wealth inequality is an important matter for economic theory and policy. Ongoing debates have been discussing recent rise in wealth inequality in connection with recent development of active financial markets around the world. Existing…

How do incentive levels affect strategic behaviour? We address this with an experiment that separately identifies own- and opponent-incentive effects in two dominance-solvable games that differ in strategic complexity. Higher own incentives…

This paper acts as a collection of various trading strategies and useful pieces of market information that might help to implement such strategies. This list is meant to be comprehensive (though by no means exhaustive) and hence we only…

We study a practical optimization problems for venture capital investments and/or Research and Development (R&D) investments. The first problem is that, given the amount of the initial investment and the reward function at the initial…

Portfolio management is an essential component of investment strategy that aims to maximize returns while minimizing risk. This paper explores several portfolio management strategies, including asset allocation, diversification, active…

Financial and gambling markets are ostensibly similar and hence strategies from one could potentially be applied to the other. Financial markets have been extensively studied, resulting in numerous theorems and models, while gambling…

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.…

A monopolist seller of multiple goods screens a buyer whose type is initially unknown to both but drawn from a commonly known distribution. The buyer privately learns about his type via a signal. We derive the seller's optimal mechanism in…

When users stand to gain from certain predictions, they are prone to act strategically to obtain favorable predictive outcomes. Whereas most works on strategic classification consider user actions that manifest as feature modifications, we…

We consider the classical multi-asset Merton investment problem under drift uncertainty, i.e. the asset price dynamics are given by geometric Brownian motions with constant but unknown drift coefficients. The investor assumes a prior drift…

We investigate investors voluntary disclosure decisions under uncertainty about their information endowment (Dye 1985). In our model, an investor may receive initial evidence about a target firm. Conditional on learning the initial…

The long-term impact of algorithmic decision making is shaped by the dynamics between the deployed decision rule and individuals' response. Focusing on settings where each individual desires a positive classification---including many…

This paper studies the properties of the optimal portfolio-consumption strategies in a {finite horizon} robust utility maximization framework with different borrowing and lending rates. In particular, we allow for constraints on both…

Modelling all possible life cycles of a company in a highly competitive economic environment gives a significant advantage to the owner in his business investment activities. This article proposes and analyses a dynamic model of a company's…

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…

Can deep reinforcement learning algorithms be exploited as solvers for optimal trading strategies? The aim of this work is to test reinforcement learning algorithms on conceptually simple, but mathematically non-trivial, trading…