ECCC-Report TR08-089https://eccc.weizmann.ac.il/report/2008/089Comments and Revisions published for TR08-089en-usSun, 28 Sep 2008 23:38:27 +0300
Paper TR08-089
| SOLVENCY GAMES |
Noam Berger,
Kapur Nevin,
Schulman Leonard,
Vazirani Vijay
https://eccc.weizmann.ac.il/report/2008/089Abstract. We study the decision theory of a maximally risk-averse investor | one whose objec-
tive, 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 diĀ®erent 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.
Sun, 28 Sep 2008 23:38:27 +0300https://eccc.weizmann.ac.il/report/2008/089