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We have decided to discontinue the publication of preprints on our preprint server end of 2024. The publication culture within mathematics has changed so much due to the rise of repositories such as ArXiV (www.arxiv.org) that we are encouraging all institute members to make their preprints available there. An institute's repository in its previous form is, therefore, unnecessary. The preprints published to date will remain available here, but we will not add any new preprints here.
Adaptive Bet-Hedging Revisited: Considerations of Risk and Time Horizon
Omri Tal and Tat Dat TranAbstract
Models of adaptive bet-hedging commonly adopt insights from Kelly's famous work on optimal gambling strategies and the financial value of information. In particular, such models seek evolutionary solutions that maximize long term average growth rate of lineages, even in the face of highly stochastic growth trajectories. Here, we argue for extensive departures from the standard approach to better account for evolutionary contingencies. Crucially, we incorporate considerations of volatility minimization, motivated by interim extinction risk in finite populations, within a finite time horizon approach to growth maximization. We find that a game-theoretic competitive-optimality approach best captures these additional constraints, and derive the equilibria solutions under various fitness payoff functions.
- Received:
- 08.04.19
- Published:
- 08.04.19
- Keywords:
- adaptive bet-hedging, Kelly gambling, game theory, growth optimal portfolio theory