相关论文: Translation Invariance of Investment

For a game with positive expectation and some negative profit, a unique price exists, at which the optimal proportion of investment reaches its maximum. For a game with parallel translated profit, the ratio of this price to its expectation…

In this paper, we study a game with positive or plus infinite expectation and determine the optimal proportion of investment for maximizing the limit expectation of growth rate per attempt. With this objective, we introduce a new pricing…

We present an optimal investment theorem for a currency exchange model with random and possibly discontinuous proportional transaction costs. The investor's preferences are represented by a multivariate utility function, allowing for…

A valuation for a player in a game in extensive form is an assignment of numeric values to the players moves. The valuation reflects the desirability moves. We assume a myopic player, who chooses a move with the highest valuation.…

We analyze an irreversible investment decision for a project which yields a flow of future operating profits given by a geometric Brownian motion with unknown drift. In contrast to similar optimal stopping problems with incomplete…

The classical optimal investment and consumption problem with infinite horizon is studied in the presence of transaction costs. Both proportional and fixed costs as well as general utility functions are considered. Weak dynamic programming…

We study a problem of optimal irreversible investment and emission reduction formulated as a nonzero-sum dynamic game between an investor with environmental preferences and a firm. The game is set in continuous time on an infinite-time…

In a combinatorial exchange setting, players place sell (resp. buy) bids on combinations of traded goods. Besides the question of finding an optimal selection of winning bids, the question of how to share the obtained profit is of high…

The aim of this article is to propose a core game theory model of transaction costs wherein it is indicated how direct costs determine the probability of loss and subsequent transaction costs. The existence of optimum is proven, and the way…

We consider the problem of optimal investment with random endowment in a Black--Scholes market for an agent with constant relative risk aversion. Using duality arguments, we derive an explicit expression for the optimal trading strategy,…

This paper provides a general characterization of subgame perfect equilibria for strategic timing problems, where two firms have the (real) option to make an irreversible investment. Profit streams are uncertain and depend on the market…

The winning condition of a parity game with costs requires an arbitrary, but fixed bound on the cost incurred between occurrences of odd colors and the next occurrence of a larger even one. Such games quantitatively extend parity games…

A sequence of spin-1/2 particles polarised in one of two possible directions is presented to an experimenter, who can wager in a double-or-nothing game on the outcomes of measurements in freely chosen polarisation directions. Wealth is…

The purpose of the present paper is the analysis of a model describing how herd behaviour and self-fulfilling prophecies can influence currency exchange rates, and what the impact of a currency transaction tax would be. These considerations…

We consider an investment problem in which an investor performs capital injections to increase the liquidity of a firm for it to maximise profit from market operations. Each time the investor performs an injection, the investor incurs a…

We determine the optimal investment strategy in a Black-Scholes financial market to minimize the so-called {\it probability of drawdown}, namely, the probability that the value of an investment portfolio reaches some fixed proportion of its…

Decision-changing imitation is a prevalent phenomenon in financial markets, where investors imitate others' decision-changing rates when making their own investment decisions. In this work, we study the optimal investment problem under the…

We extend the optimin notion of Ismail (2025) from mixed strategy profiles to correlated distributions. A correlated distribution is evaluated by the worst expected payoff each player can receive when opponents may either obey their private…

The core is a dominant solution concept in economics and cooperative game theory; it is predominantly used for profit, equivalently cost or utility, sharing. This paper demonstrates the versatility of this notion by proposing a completely…

This paper studies the valuation and optimal strategy of convertible bonds as a Dynkin game by using the reflected backward stochastic differential equation method and the variational inequality method. We first reduce such a Dynkin game to…