TY - GEN
T1 - Solvency games
AU - Berger, N.
AU - Kapur, N.
AU - Schulman, L. J.
AU - Vazirani, V. V.
PY - 2008
Y1 - 2008
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=84866648024&partnerID=8YFLogxK
M3 - Conference contribution
AN - SCOPUS:84866648024
SN - 9783939897088
T3 - Leibniz International Proceedings in Informatics, LIPIcs
SP - 61
EP - 72
BT - FSTTCS 2008 - IARCS Annual Conference on Foundations of Software Technology and Theoretical Computer Science
T2 - 28th International Conference on the Foundations of Software Technology and Theoretical Computer Science, FSTTCS 2008
Y2 - 9 December 2008 through 11 December 2008
ER -