Back to Search Start Over

The Investment Management Game: Extending the Scope of the Notion of Core

Authors :
Vazirani, Vijay V.
Publication Year :
2023

Abstract

The core is a dominant solution concept in economics and cooperative game theory; it is predominantly used for profit, equivalently cost or utility, sharing. This paper demonstrates the versatility of this notion by proposing a completely different use: in a so-called investment management game, which is a game against nature rather than a cooperative game. This game has only one agent whose strategy set is all possible ways of distributing her money among investment firms. The agent wants to pick a strategy such that in each of exponentially many future scenarios, sufficient money is available in the right firms so she can buy an optimal investment for that scenario. Such a strategy constitutes a core imputation under a broad interpretation, though traditional formal framework, of the core. Our game is defined on perfect graphs, since the maximum stable set problem can be solved in polynomial time for such graphs. We completely characterize the core of this game, analogous to Shapley and Shubik characterization of the core of the assignment game. A key difference is the following technical novelty: whereas their characterization follows from total unimodularity, ours follows from total dual integrality<br />Comment: 16 pages. arXiv admin note: text overlap with arXiv:2209.04903

Details

Database :
arXiv
Publication Type :
Report
Accession number :
edsarx.2302.00608
Document Type :
Working Paper