相关论文: Kelly Criterion revisited: optimal bets

We study the Online Bookmaking problem, where a bookmaker dynamically updates betting odds on the possible outcomes of an event. In each betting round, the bookmaker can adjust the odds based on the cumulative betting behavior of gamblers,…

Using results from neurobiology on perceptual decision making and value-based decision making, the problem of decision making between lotteries is reformulated in an abstract space where uncertain prospects are mapped to corresponding…

The main purpose of this article is to prove that, under certain assumptions in a linear prediction setting, optimal methods based upon model reduction and even an optimal predictor can be provided. The optimality is formulated in terms of…

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…

This paper is part of an ongoing investigation of "pragmatic information", defined in Weinberger (2002) as "the amount of information actually used in making a decision". Because a study of information rates led to the Noiseless and Noisy…

Unusually large prize pools in lotteries like Mega Millions and Powerball attract additional bettors, which increases the likelihood that multiple winners will have to share the pool. Thus, the expected value of a lottery ticket decreases…

We introduce the sequence-set betting game, a generalization of An. A. Muchnik's non-monotonic betting game. Instead of successively partitioning the infinite binary strings by their value of a bit at a chosen position, as in the…

A speculative agent with Prospect Theory preference chooses the optimal time to purchase and then to sell an indivisible risky asset to maximize the expected utility of the round-trip profit net of transaction costs. The optimization…

We introduce a generic solver for dynamic portfolio allocation problems when the market exhibits return predictability, price impact and partial observability. We assume that the price modeling can be encoded into a linear state-space and…

This paper gives a constructive treatment of McKenzie's theorem on the existence of general equilibria. While the full theorem does not admit a constructive proof, and hence does not admit a computational realisation, we show that if we…

This paper studies correlations among independently administered hypothetical tests of a simple interactive type, and demonstrates that correlations arising in quantum information theoretic variants of these tests can exhibit a striking…

A game-theoretic model of scrip (artificial currency) systems is analyzed. It is shown that relative entropy can be used to characterize the distribution of agent wealth when all agents use threshold strategies---that is, they volunteer to…

This paper presents a new framework for Merton's optimal investment problem which uses the theory of Meyer $\sigma$-fields to allow for signals that possibly warn the investor about impending jumps. With strategies no longer predictable,…

We outline how to create a mechanism that provides an optimal way to elicit, from an arbitrary group of experts, the probability of the truth of an arbitrary logical proposition together with collective information that has an explicit form…

We consider an investor who, while maximizing his/her expected utility, also compares the outcome to a reference entity. We recall the notion of personal equilibrium and show that, in a multistep, generically incomplete financial market…

We formulate and prove an exact finite-horizon quantile theorem for repeated identical multi-outcome Kelly wagering in wealth-profile / Arrow--Debreu coordinates. For a fixed $m$-outcome event repeated independently over a horizon $n$, the…

We develop a systematic approach to quantum probability as a theory of rational betting in quantum gambles. In these games of chance the agent is betting in advance on the outcomes of several (finitely many) incompatible measurements. One…

We introduce and discuss a general criterion for the derivative pricing in the general situation of incomplete markets, we refer to it as the No Almost Sure Arbitrage Principle. This approach is based on the theory of optimal strategy in…

Ergodicity describes an equivalence between the expectation value and the time average of observables. Applied to human behaviour, ergodic theories of decision-making reveal how individuals should tolerate risk in different environments. To…

This paper is concerned with the axiomatic foundation and explicit construction of a general class of optimality criteria that can be used for investment problems with multiple time horizons, or when the time horizon is not known in…