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Long bet will lose: demystifying seemingly fair gambling via two-armed Futurity bandit
No matter how much some gamblers occasionally win, as long as they continue to gamble, sooner or later they will lose more to the casino, which is the so-called long bet will lose.
Approximate optimality and the risk/reward tradeoff in a class of bandit problems
This paper studies a sequential decision problem where payoff distributions are known and where the riskiness of payoffs matters.
A Confirmation of a Conjecture on the Feldman's Two-armed Bandit Problem
Myopic strategy is one of the most important strategies when studying bandit problems.
A Central Limit Theorem, Loss Aversion and Multi-Armed Bandits
This paper studies a multi-armed bandit problem where the decision-maker is loss averse, in particular she is risk averse in the domain of gains and risk loving in the domain of losses.
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