相关论文: Kelly Criterion revisited: optimal bets

We consider optimal consumption and portfolio choice in the presence of Knightian uncertainty in continuous-time. We embed the problem into the new framework of stochastic calculus for such settings, dealing in particular with the issue of…

It is well-known that there are a number of relations between theoretical finance theory and information theory. Some of these relations are exact and some are approximate. In this paper we will explore some of these relations and determine…

We construct the maximally predictable portfolio (MPP) of stocks using machine learning. Solving for the optimal constrained weights in the multi-asset MPP gives portfolios with a high monthly coefficient of determination, given the sample…

This paper investigates a continuous-time portfolio optimization problem with the following features: (i) a no-short selling constraint; (ii) a leverage constraint, that is, an upper limit for the sum of portfolio weights; and (iii) 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…

Resource competition problems are often modeled using Colonel Blotto games, where players take simultaneous actions. However, many real-world scenarios involve sequential decision-making rather than simultaneous moves. To model these…

Symmetry is inherent in the definition of most of the two-player zero-sum games, including parity, mean-payoff, and discounted-payoff games. It is therefore quite surprising that no symmetric analysis techniques for these games exist. We…

Focusing on gains & losses relative to a risk-free benchmark instead of terminal wealth, we consider an asset allocation problem to maximize time-consistently a mean-risk reward function with a general risk measure which is i)…

We consider a market setting of agents with additive valuations over heterogeneous divisible resources. Agents are assigned a budget of tokens (possibly unequal budgets) they can use to obtain resources; leftover tokens are worthless. We…

This note proposes a procedure for enhancing the quality of probabilistic prediction algorithms via betting against their predictions. It is inspired by the success of the conformal test martingales that have been developed recently.

The advent of data science has spurred interest in estimating properties of distributions over large alphabets. Fundamental symmetric properties such as support size, support coverage, entropy, and proximity to uniformity, received most…

The games of prediction with expert advice are considered in this paper. We present some modification of Kalai and Vempala algorithm of following the perturbed leader for the case of unrestrictedly large one-step gains. We show that in…

This paper investigates the value of recommendations for disseminating economic information, with a focus on frictions resulting from preference heterogeneity. We consider Bayesian expected-payoff maximizers who receive non-strategic…

Randomized mechanisms, which map a set of bids to a probability distribution over outcomes rather than a single outcome, are an important but ill-understood area of computational mechanism design. We investigate the role of randomized…

We consider a general class of non-linear Bellman equations. These open up a design space of algorithms that have interesting properties, which has two potential advantages. First, we can perhaps better model natural phenomena. For…

Noncooperative games with uncertain payoffs have been classically studied under the expected-utility theory framework, which relies on the strong assumption that agents behave rationally. However, simple experiments on human decision makers…

We study equilibrium concepts in non-cooperative games under uncertainty where both beliefs and mixed strategies are represented by non-additive measures (capacities). In contrast to the classical Nash framework based on additive…

We introduce an information theoretic criterion for Bayesian network structure learning which we call quotient normalized maximum likelihood (qNML). In contrast to the closely related factorized normalized maximum likelihood criterion, qNML…

In an epsilon-Nash equilibrium, a player can gain at most epsilon by changing his behaviour. Recent work has addressed the question of how best to compute epsilon-Nash equilibria, and for what values of epsilon a polynomial-time algorithm…

Lottery is a game in which multiple players take chances in the hope of getting some rewards in cash or kind. In addition, from the time of the early civilizations, lottery has also been considered as an apposite method to allocate scarce…