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DOI: 10.4230/LIPIcs.FSTTCS.2008.1741
URN: urn:nbn:de:0030-drops-17419
URL: https://drops.dagstuhl.de/opus/volltexte/2008/1741/
Berger, Noam ; Kapur, Nevin ; Schulman, Leonard ; Vazirani, Vijay
Solvency Games
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Abstract
We study the decision theory of a maximally risk-averse investor ---one whose objective, in the face of stochastic uncertainties, is to
minimize the probability of ever going broke. With a view to
developing the mathematical basics of such a theory, we start with a
very simple model and obtain the following results: a characterization
of best play by investors; an explanation of why poor and rich players
may have different best strategies; an explanation of why
expectation-maximization is not necessarily the best strategy even for
rich players. For computation of optimal play, we show how to apply
the Value Iteration method, and prove a bound on its convergence
rate.
BibTeX - Entry
@InProceedings{berger_et_al:LIPIcs:2008:1741,
author = {Noam Berger and Nevin Kapur and Leonard Schulman and Vijay Vazirani},
title = {{Solvency Games}},
booktitle = {IARCS Annual Conference on Foundations of Software Technology and Theoretical Computer Science},
pages = {61--72},
series = {Leibniz International Proceedings in Informatics (LIPIcs)},
ISBN = {978-3-939897-08-8},
ISSN = {1868-8969},
year = {2008},
volume = {2},
editor = {Ramesh Hariharan and Madhavan Mukund and V Vinay},
publisher = {Schloss Dagstuhl--Leibniz-Zentrum fuer Informatik},
address = {Dagstuhl, Germany},
URL = {http://drops.dagstuhl.de/opus/volltexte/2008/1741},
URN = {urn:nbn:de:0030-drops-17419},
doi = {10.4230/LIPIcs.FSTTCS.2008.1741},
annote = {Keywords: Decision making under uncertainity, multi-arm bandit problems, game theory}
}
| Keywords: | Decision making under uncertainity, multi-arm bandit problems, game theory | |
| Seminar: | IARCS Annual Conference on Foundations of Software Technology and Theoretical Computer Science | |
| Issue date: | 2008 | |
| Date of publication: | 05.12.2008 |
