Gespeichert in:
| Hauptverfasser: | , , , |
|---|---|
| Format: | Preprint |
| Veröffentlicht: |
2024
|
| Schlagworte: | |
| Online-Zugang: | https://arxiv.org/abs/2403.15907 |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| _version_ | 1866917621454077952 |
|---|---|
| author | Rastegar, Reza Roitershtein, Alex Roytershteyn, Vadim Seetharam, Vijay |
| author_facet | Rastegar, Reza Roitershtein, Alex Roytershteyn, Vadim Seetharam, Vijay |
| contents | We introduce and study a mathematical model of an art collector. In our model, the collector is a rational agent whose actions in the art market are driven by two competing long-term objectives, namely sustainable financial health and maintaining the collection. Mathematically, our model is a two-dimensional random linear dynamical system with transformation matrix of a peculiar type. In some examples we are able to show that within the Kelly-type optimization paradigm, that is optimizing the system's Lyapunov exponent over a set of policy parameters, the dilemma ``art or money" can be successfully resolved, namely the optimal policy creates a coexistence equilibrium where the value of both is increasing over the time. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2403_15907 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Balancing art and money in pursuit of a Kelly-type optimality Rastegar, Reza Roitershtein, Alex Roytershteyn, Vadim Seetharam, Vijay Probability Dynamical Systems Optimization and Control 91B74 We introduce and study a mathematical model of an art collector. In our model, the collector is a rational agent whose actions in the art market are driven by two competing long-term objectives, namely sustainable financial health and maintaining the collection. Mathematically, our model is a two-dimensional random linear dynamical system with transformation matrix of a peculiar type. In some examples we are able to show that within the Kelly-type optimization paradigm, that is optimizing the system's Lyapunov exponent over a set of policy parameters, the dilemma ``art or money" can be successfully resolved, namely the optimal policy creates a coexistence equilibrium where the value of both is increasing over the time. |
| title | Balancing art and money in pursuit of a Kelly-type optimality |
| topic | Probability Dynamical Systems Optimization and Control 91B74 |
| url | https://arxiv.org/abs/2403.15907 |