相关论文: Kelly Criterion revisited: optimal bets

We analyze the Vickrey mechanism for auctions of multiple identical goods when the players have both Knightian uncertainty over their own valuations and incomplete preferences. In this model, the Vickrey mechanism is no longer…

In this paper we examine problems motivated by on-line financial problems and stochastic games. In particular, we consider a sequence of entirely arbitrary distinct values arriving in random order, and must devise strategies for selecting…

We discuss a connection between Bell nonlocality and Bayesian games. This link offers interesting perspectives for Bayesian games, namely to allow the players to receive advice in the form of nonlocal correlations, for instance using…

We study how to optimally design selection mechanisms, accounting for agents' investment incentives. A principal wishes to allocate a resource of homogeneous quality to a heterogeneous population of agents. The principal commits to a…

Following the work of Lloyd Shapley on the Shapley value, and tangentially the work of Guillermo Owen, we offer an alternative non-probabilistic formulation of part of the work of Robert J. Weber in his 1978 paper "Probabilistic values for…

I provide necessary and sufficient conditions for an agent's preferences to be represented by a unique ergodic transformation. Put differently, if an agent seeks to maximize the time average growth of their wealth, what axioms must their…

We study time-inconsistent recursive stochastic control problems, i.e., for which the Bellman principle of optimality does not hold. For this class of problems classical optimal controls may fail to exist, or to be relevant in practice, and…

We simulate a simplified version of the price process including bubbles and crashes proposed in Kreuser and Sornette (2018). The price process is defined as a geometric random walk combined with jumps modelled by separate, discrete…

We extend the projective covariant bookmaker's bets model to the forecasting gamblers case. The probability of correctness of forecasts shifts probabilities of branching. The formula for the shift of probabilities leads to the velocity…

The Sleeping Beauty problem is a problem of imperfect recall that has received considerable attention. One approach to solving the Sleeping Beauty problem is to allow Sleeping Beauty to make decisions based on her beliefs, and then…

If wealthier people have advantages in having higher returns than poor, inequality will unequivocally increase, but is equal opportunity enough to prevent it? According to several models in economics and econophysics, no. They all display…

We find the optimal investment strategy for an individual who seeks to minimize one of four objectives: (1) the probability that his wealth reaches a specified ruin level {\it before} death, (2) the probability that his wealth reaches that…

This paper studies the strategic manipulation of set-valued social choice functions according to Kelly's preference extension, which prescribes that one set of alternatives is preferred to another if and only if all elements of the former…

I unravel the basic long run dynamics of the broker call money market, which is the pile of cash that funds margin loans to retail clients (read: continuous time Kelly gamblers). Call money is assumed to supply itself perfectly…

We show that, in a resource allocation problem, the ex ante aggregate utility of players with cumulative-prospect-theoretic preferences can be increased over deterministic allocations by implementing lotteries. We formulate an optimization…

We investigate activities that have different periods of duration. We define the profit intensity as a measure of this economic category. The profit intensity in a repeated trading has a unique property of attaining its maximum at a fixed…

Within a common arbitrage-free semimartingale financial market we consider the problem of determining all Nash equilibrium investment strategies for $n$ agents who try to maximize the expected utility of their relative wealth. The utility…

Assume (1) asset returns follow a stochastic multi-factor process with time-varying conditional expectations; (2) investments are linear functions of factors. This paper calculates asymptotic joint moments of the logarithm of investor's…

Although maximizing median and quantiles is intuitively appealing and has an axiomatic foundation, it is difficult to study the optimal portfolio strategy due to the discontinuity and time inconsistency in the objective function. We use the…

We consider an equity-linked contract whose payoff depends on the lifetime of policy holder and the stock price. We assume the limited capital for hedging and we provide with the best strategy for an insurance company in the meaning of so…