Related papers: Relative wealth concerns with partial information …
Focusing on gains & losses relative to a risk-free benchmark instead of terminal wealth, we consider an asset allocation problem to maximize time-consistently a mean-risk reward function with a general risk measure which is i)…
Strategy evaluation schemes are a crucial factor in any agent-based market model, as they determine the agents' strategy preferences and consequently their behavioral pattern. This study investigates how the strategy evaluation schemes…
In this paper,we mainly focus on the numerical solution of high-dimensional stochastic optimal control problem driven by fully-coupled forward-backward stochastic differential equations (FBSDEs in short) through deep learning. We first…
We study interactions with uncertainty about demand sensitivity. In our solution concept (1) firms choose seemingly-optimal strategies given the level of sophistication of their data analytics, and (2) the levels of sophistication form best…
We address the question of whether price of stability results (existence of equilibria with low social cost) are robust to incomplete information. We show that this is the case in potential games, if the underlying algorithmic social cost…
We study Nash equilibria for inventory-averse high-frequency traders (HFTs), who trade to exploit information about future price changes. For discrete trading rounds, the HFTs' optimal trading strategies and their equilibrium price impact…
We study how transaction cost affects to the equilibrium return and optimal stock holdings in equilibrium. To this end, we develop a continuous-time risk-sharing model where heterogenous agents trade toward terminal target holdings subject…
Consider a strongly monotone game where the players' utility functions include a reward function and a linear term for each dimension, with coefficients that are controlled by the manager. Gradient play converges to a unique Nash…
The strong relative arbitrage problem in Stochastic Portfolio Theory seeks an investment strategy that almost surely outperforms a benchmark portfolio at the end of a given time horizon. The highest relative return in relative arbitrage…
In this short paper, we define the investment ability of data investors in the data economy and its heterogeneity. We further construct an analytical heterogeneous agent model to demonstrate that differences in data investment ability lead…
In this paper, we study finite-agent linear-quadratic games on graphs. Specifically, we propose a comprehensive framework that extends the existing literature by incorporating heterogeneous and interpretable player interactions. Compared to…
This paper addresses the portfolio selection problem for nonlinear law-dependent preferences in continuous time, which inherently exhibit time inconsistency. Employing the method of stochastic maximum principle, we establish verification…
We investigate a continuous-time investment-consumption problem with model uncertainty in a general diffusion-based market with random model coefficients. We assume that a power utility investor is ambiguity-averse, with the preference to…
This paper will examine a model with many agents, each of whom has a different belief about the dynamics of a risky asset. The agents are Bayesian and so learn about the asset over time. All agents are assumed to have a finite (but random)…
We study an optimal investment/consumption problem in a model capturing market and credit risk dependencies. Stochastic factors drive both the default intensity and the volatility of the stocks in the portfolio. We use the martingale…
This paper examines the impact of cognitive biases on financial decision-making through a static Bayesian game framework. While traditional economic theory assumes fully rational investors, real-world choices are often shaped by loss…
We study a discrete-time consumption-based capital asset pricing model under expectations-based reference-dependent preferences. More precisely, we consider an endowment economy populated by a representative agent who derives utility from…
We extend the notion of forward performance criteria to settings with random endowment in incomplete markets. Building on these results, we introduce and develop the novel concept of \textit{forward optimized certainty equivalent (forward…
We study stochastic Nash equilibrium problems with expected valued cost functions whose pseudogradient satisfies restricted monotonicity properties which hold only with respect to the solution. We propose a forward-backward algorithm and…
In this study, we present models where participants strategically select their risk levels and earn corresponding rewards, mirroring real-world competition across various sectors. Our analysis starts with a normal form game involving two…