Probability and Finance: It's Only a Game!

By F. Delbaen. 2002

100 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/941e478866acd72a695c7b72e479bcef355201c3

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Citations in the corpus

Information, Divergence and Risk for Binary Experiments (2009, methodology): “Overarching frameworks: These include Bayesian (Robert, 1994), information-theoretic (Jenssen, 2005a; Harremoës, 1993), game-theoretic (Vovk et al., 2005; Grünwald and Dawid, 2004), MDL (Grünwald, 2007; Rissanen, 2007), regularised distance minimisation (Borwein and Lewis, 1991; Altun and Smola, ”
Estimating means of bounded random variables by betting (2020, background): “This process is a central object of study in the game-theoretic probability literature where it is referred to as the capital process [Shafer and Vovk, 2001].”
Probabilistic forecasts, calibration and sharpness (2007, background): “…probability forecasts for dichotomous events, rather than distributional forecasts of real-valued quantities, and they did not consider the problem that is tackled here, namely the comparative evaluation of competing forecasters, for which they hint at future work (Shafer and Vovk (2001), page 50).”
The Sources of Kolmogorov’s Grundbegriffe (2006, background): “Its philosophical ideas, especially Cournot’s principle, also remain powerful, even for those who want to go beyond the measuretheoretic framework (Shafer and Vovk, 2001).”
A tutorial on conformal prediction (2007, background): “The probability is valid if the offer does not put the person making it at a disadvantage, inasmuch as a long sequence of equally reasonable offers will not allow an opponent to multiply the capital he or she risks by a large factor (Shafer and Vovk, 2001).”