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Learning Equilibrium Mean-Variance Strategy

Dai, Min; Dong, Yuchao; Jia, Yanwei - 2021

We study a dynamic mean-variance portfolio optimization problem under the reinforcement learning framework, where an entropy regularizer is introduced to induce exploration. Due to the time-inconsistency involved in a mean-variance criterion, we aim to learn an equilibrium strategy. Under an...

Persistent link: https://www.econbiz.de/10013240451

Forecast Dispersion in Finite-Player Forecasting Games

Kim, Jin Yeub - 2017

We study forecast dispersion in a finite-player forecasting game modeled as an aggregate game with payoff externalities … forecast from the average forecast; and with a finite number of agents, the agents can strategically in influence that average … find that when each agent prefers to be close to the average forecast, the presence of strategic manipulation of the …

Persistent link: https://www.econbiz.de/10012972639

Strategic Coordination in Forecasting. An Experimental Study

Bizer, Kilian - 2014

Reputational herding has been considered as a driving force behind economic and financial forecasts clustered around consensus values. Strategic coordination can consequently explain poor performances of prediction markets as resulting from the distinct incentives that forecasters face. While...

Persistent link: https://www.econbiz.de/10013056991

Politische Ökonomie internationaler Währungskrisen : ein dreidimensionales Frühwarnsystem

Angermayer, Björn - 2006 - 1. Aufl.

Erkenntnis einer umfangreichen Retrospektive zur Theorie der Währungskrisen. Mit Hilfe der Computer-Software SPSS 12.0.1 und …

Persistent link: https://www.econbiz.de/10003440555

Concentration and Variability of Forecasts in Artificial Investment Games : An Online Experiment on WeChat

Chen, Xiu - 2019

. We find that with forecast sharing, subjects' forecasts converge but in different directions across groups; consequently …, forecast sharing does not lead to better forecasts nor more individually rational investment decisions. Whether or not subjects …

Persistent link: https://www.econbiz.de/10012902965

Taking a shower in youth hostels : risks and delights of heterogeneity

Matzke, Christina (contributor); Challet, Damien (contributor) - 2008

Tuning one's shower in some hotels may turn into a challenging coordination game with imperfect information. The temperature sensitivity increases with the number of agents, making the problem possibly unlearnable. Because there is in practice a finite number of possible tap positions, identical...

Persistent link: https://www.econbiz.de/10003612880

Counter intuitive learning : an exploratory study

Hanaki, Nobuyuki; Kirman, Alan P.; Pezanis-Christou, Paul - 2016

The literature on learning in unknown environments emphasises reinforcing on actions which produce positive results. But, in some cases, success requires shifting from a currently successful actions to others. We examine, experimentally and theoretically in a very simple framework, how...

Persistent link: https://www.econbiz.de/10011517970