相关论文: Kelly Criterion revisited: optimal bets

We introduce the Colonel Blotto game with favoritism, an extension of the famous Colonel Blotto game where the winner-determination rule is generalized to include pre-allocations and asymmetry of the players' resources effectiveness on each…

We consider how an agent should update her uncertainty when it is represented by a set P of probability distributions and the agent observes that a random variable X takes on value x, given that the agent makes decisions using the minimax…

Suppose we need a deep collective analysis of an open scientific problem: there is a complex scientific hypothesis and a large online group of mutually unrelated experts with relevant private information of a diverse and unpredictable…

We study the design of optimal incentives in sequential processes. To do so, we consider a basic and fundamental model in which an agent initiates a value-creating sequential process through costly investment with random success. If…

During the last few years, there has been an interest in comparing simple or heuristic procedures for portfolio selection, such as the naive, equal weights, portfolio choice, against more "sophisticated" portfolio choices, and in explaining…

Selective classification enhances the reliability of predictive models by allowing them to abstain from making uncertain predictions. In this work, we revisit the design of optimal selection functions through the lens of the Neyman--Pearson…

Empirical evidence suggests that even the most competitive markets are not strictly efficient. Price histories can be used to predict near future returns with a probability better than random chance. Many markets can be considered as {\it…

A multiclass queue with many servers is considered, where customers make a join-or-leave decision upon arrival based on queue length information, without knowing the scheduling policy or the state of other queues. A game theoretic…

We carry out a game-theoretic analysis of the recursive game "Guts," a variant of poker featuring repeated play with possibly growing stakes. An interesting aspect of such games is the need to account for funds lost to all players if…

Strategyproof mechanisms provide robust equilibrium with minimal assumptions about knowledge and rationality but can be unachievable in combination with other desirable properties such as budget-balance, stability against deviations by…

AI research in chess has been primarily focused on producing stronger agents that can maximize the probability of winning. However, there is another aspect to chess that has largely gone unexamined: its aesthetic appeal. Specifically, there…

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.…

In this paper, we assume an insure is allowed to purchase proportional reinsurance and can invest his or her wealth into the financial market where a savings account, stocks and bonds are available. Different from classical optimal…

We deal with the optimal execution problem when the broker's goal is to reach a performance barrier avoiding a downside barrier. The performance is provided by the wealth accumulated by trading in the market, the shares detained by the…

Gambits are central to human decision-making. Our goal is to provide a theory of Gambits. A Gambit is a combination of psychological and technical factors designed to disrupt predictable play. Chess provides an environment to study gambits…

We derive formulas for the performance of capital assets in continuous time from an efficient market hypothesis, with no stochastic assumptions and no assumptions about the beliefs or preferences of investors. Our efficient market…

In this paper, we propose a model which simulates odds distributions of pari-mutuel betting system under two hypotheses on the behavior of bettors: 1. The amount of bets increases very rapidly as the deadline for betting comes near. 2. Each…

We investigate the relation between Bell inequalities and nonlocal games by presenting a systematic method for their bilateral conversion. In particular, we show that while to any nonlocal game there naturally corresponds a unique Bell…

Quantum Decision Theory, advanced earlier by the authors, and illustrated for lotteries with gains, is generalized to the games containing lotteries with gains as well as losses. The mathematical structure of the approach is based on the…

We consider an optimal partition of resources (e.g. consumers) between several agents (e.g. experts), given utility functions ("wisdoms") for the agents and their capacities. This problem is a variant of optimal transport…