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Solving Maxmin Optimization Problems via Population Games

Balter, Anne G.; Schumacher, Johannes M.; Schweizer, … - 2022

of population games as studied in evolutionary game theory. Consequently, evolutionary dynamics that have been designed …

Persistent link: https://www.econbiz.de/10014235483

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

An explicit representation for disappointment aversion and other betweenness preferences

Cerreia-Vioglio, Simone; Dillenberger, David; Ortoleva, … - In: Theoretical economics : TE ; an open access journal in … 15 (2020) 4, pp. 1509-1546

One of the most well-known models of non-expected utility is Gul (1991)'s model of Disappointment Aversion. This model …, however, is defined implicitly, as the solution to a functional equation; its explicit utility representation is unknown …

Persistent link: https://www.econbiz.de/10012415476

Comparative statics with concave and supermodular functions

Quah, John K.-H. (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001876351

Constructing scalar-valued objective functions : proceedings of the Third International Conference on Econometric Decision Models: Constructing Scalar Valued Objective Functions, University of Hagen, held in Katholische Akademie Schwerte, September 5 - 8, 1995

Tanguiane, Andranick S. (ed.); … - 1997

Persistent link: https://www.econbiz.de/10013278134

Consistent Investment of Sophisticated Rank-Dependent Utility Agents in Continuous Time

Hu, Ying - 2020

-dependent utility. As such a model is inherently time inconsistent due to the underlying probability weighting, we study the investment …

Persistent link: https://www.econbiz.de/10012832328

A Theory of Endogenous Time Preference, and Discounted Utility Anomalies

Boyarchenko, Svetlana; Levendorskii, Sergei - 2005

We explain essentially all known discounted utility anomalies as artefacts of the optimizing behavior of an individual … with a time-separable utility function, who perceives a good as a source of a stochastic consumption stream, and believes … utility stream is interpreted as an integral of a deterministic utility stream multiplied by certain non-exponential factors …

Persistent link: https://www.econbiz.de/10014066800

Constructing Scalar-Valued Objective Functions : Proceedings of the Third International Conference on Econometric Decision Models: Constructing Scalar-Valued Objective Functions University of Hagen Held in Katholische Akademie Schwerte September 5-8, 1995

Tanguiane, Andranick S. - 1997

For several decades, scholars have developed methods for solving optimization problems which emerge in economics, econometrics, operations research, and other disciplines. A considerable effort has been made to construct equations from which constraints can be derived, but surprisingly little...

Persistent link: https://www.econbiz.de/10013519889

Two essays on financial economics

Mao, Mei Hui Jennifer - 1985 - [Mikrofiche-Ausg.]

Persistent link: https://www.econbiz.de/10000933956

Consensus-halving via theorems of Borsuk-Ulam and Tucker

Simmons, Forest W.; Su, Francis Edward - 2001 - Manuscript version, February 2001

In this paper we show how theorems of Borsuk-Ulam and Tucker can be used to construct a consensus-halving: a division of an object into two portions so that each of n people believe the portions are equally split. Moreover, the division takes at most n cuts, which is best possible. This extends...

Persistent link: https://www.econbiz.de/10011569033