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Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints
Wang, Ning; Zhang, Nan; Zhuo, Jin; Qian, Linyi - In: Insurance / Mathematics & economics 96 (2021), pp. 168-184
Persistent link: https://www.econbiz.de/10012482845
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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
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Red-blooded risk : the secret history of Wall Street
Brown, Aaron - 2012
Persistent link: https://www.econbiz.de/10009427753
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Allocation of risk capital in a cost cooperative game induced by a modified expected shortfall
Bernardi, Mauro; Cerqueti, Roy; Palestini, Arsen - In: Journal of the Operational Research Society 72 (2021) 3, pp. 628-641
Persistent link: https://www.econbiz.de/10012500976
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Red-Blooded Risk : The Secret History of Wall Street
Brown, Aaron - 2011 - 1st ed.
-- Principle VI: Superposition -- Principle VII: Game Theory -- Chapter 4: The Secret History of Wall Street: 1654-1982 -- Pascal … -- Chapter 5: When Harry Met Kelly -- Kelly -- Harry -- Commodity Futures -- If Harry Knew Kelly -- Investment Growth Theory … Money: The Future -- Farmers and Millers -- Money, New and Improved -- A General Theory of Money -- Value and Money …
Persistent link: https://www.econbiz.de/10012688591
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Optimal Trade Sizing in a Game with Favourable Odds : The Stock Market
Haghani, Victor - 2016
In this short note, we show investors one way to calculate ideal investment sizing by using two rules of thumb based on a simple outline of individual risk aversion. We illustrate these two heuristics, which are not widely appreciated, with thought experiments involving coin flips and ketchup &...
Persistent link: https://www.econbiz.de/10012978604
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Time-Inconsistent Stochastic Linear–Quadratic Control : Characterization and Uniqueness of Equilibrium
Hu, Ying - 2015
In this paper, we continue our study on a general time-inconsistent stochastic linear-quadratic (LQ) control problem originally formulated in Hu, Jin and Zhou (2012). We derive a necessary and sufficient condition for equilibrium controls via a flow of forward-backward stochastic differential...
Persistent link: https://www.econbiz.de/10013024863
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Strategically biased learning in market interactions
Bottazzi, Giulio; Giachini, Daniele - 2022
We consider a market economy where two rational agents are able to learn the distribution of future events. In this context, we study whether moving away from the standard Bayesian belief updating, in the sense of under-reaction to some degree to new information, may be strategically convenient...
Persistent link: https://www.econbiz.de/10012797563
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Delegation uncertainty
Li, Ye; Wang, Chen - 2018
' delegation decision as a trade-off between asset return uncertainty and delegation uncertainty. Our theory explains several …
Persistent link: https://www.econbiz.de/10011976244
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Sex-Hormone Genes and Gender Difference in Ultimatum Game : Experimental Evidence from China and Israel
Chew, Soo Hong; Ebstein, Richard P.; Zhong, Songfa - 2011
Combining the methodologies of experiment economics and molecular genetics, we report genetic association between sex-hormone genes and ultimatum game (UG) behavior in a discovery sample from China and a replication sample from Israeli. We find that the estrogen receptor β gene (ESRβ) is...
Persistent link: https://www.econbiz.de/10014174705