Bounded Rationality as Limited Optimization: Stochastic Gradient Descent Agents in Macroeconomic Models ∗

Preprint Aug 2026

Dynamic Portfolio Optimization under CVaR Constraints

This work exploits the auxiliary-threshold representation of CVaR to establish the existence of an optimal strategy and strong duality without requiring market completeness, and proves that the resulting strategies converge to the optimal control as the number of iterations tends to infinity.

An-Ran Hu, Silvana M. Pesenti, Xiaofei Shi · 0 citations

Preprint Aug 2026

Equilibrium in Multi-Agent Reinforcement Learning

Standard solution concepts for stochastic games, such as Markov perfect equilibrium and Markov coarse correlated equilibrium, are computationally difficult, and thus, standard decentralized reinforcement-learning algorithms should not generally be expected to converge to them. In this paper, we study the equilibrium ge...

Maurizio D'Andrea, Bar Light · 0 citations

Open access Sep 2026

Finite-horizon ratcheting with perpetual commitment: optimal consumption, investment, and lock-in effects

We study optimal consumption and portfolio policies for an agent with a finite planning horizon and an irreversible consumption ratcheting constraint. During the planning horizon, the agent may increase consumption but cannot reduce it. After the terminal date, the consumption level reached by that time is permanentl...

Junkee Jeon, Takwon Kim · Advances in Continuous and D... · 0 citations

#machine learning Preprint Sep 2026

Minimax-Optimal Online Contract Design with Unrestricted Bounded Contracts

We study repeated contract design when a principal observes outcomes but not the actions that generate them. The principal may use any bounded outcome-contingent payment vector, and the agent's best response can make expected profit discontinuous in those payments. For every fixed number $m\ge2$ of outcomes, the minima...

Rui Ai, David Simchi-Levi, Han Zhong · 0 citations

Preprint Oct 2026

Approximate Feedback Nash Equilibria in Constrained Differential Games via Model Predictive Control with Upper Bound Guarantees

Physical human--machine interaction and other multi-agent control settings require decision-making policies that adapt online. Differential games provide a principled framework where each agent optimizes an individual objective while anticipating the other's response. The relevant solution concept in many applications...

Balint Varga, Karl Handwerker, Imre J. Rudas et al. · 0 citations

Sep 2026

EXPRESS: Learning to Price under Competition with Reference Price Effects

This paper studies the algorithmic design of price competition in oligopolistic markets, with a focus on long-run market dynamics under reference price effects. We consider a sequential price competition framework with multiple sellers operating over a finite horizon, each lacking prior knowledge of the demand functi...

Yong-Ge Yang, Jian-Nan Ke, Cong Shi · Production and operations ma... · 0 citations